It doesnt really matter if you use the bluetooth option or the
http://www.gridconnect.com/wi232.html (which btw also needs special software on the PC side), they would both plug into the slow serial port of the A500.
I dont know what Lockon thinks he is talking about, but the only way to get the speed that he mentions is to get a proper ethernet device for the A500 - these are very rare (and I would guess them to occupy the expansion slot).
If you get a better CPU (68020 and up) you can get a clockport adapter and a Subway USB controller and use a USB-ethernet dongle. The CPU requirements is due to the USB-stack (Poseidon) not supporting 68000 (and it also needs more RAM).