When they're connected to a Bluetooth device, how do I connect the HDJ-CUE1BT headphones to a different device?

Turn the headphones off, then turn them back on and pair them with the new device.

For details, see [Connecting via Bluetooth] in the Instruction Manual.
You can read the Instruction Manual [here].

You can also disconnect the Bluetooth device via the device itself. For details, see the instruction manual of the Bluetooth device.