Technically it shouldn't matter in a one-to-one connection where there will be a PICAXE connected at both ends.
The HC-06 can be a slave only, waits for a connection to it, while the HC-05 can make a connection or wait for one to come in, so it would be logical to put the HC-06 on the sensor side so you can connect to it from your phone or laptop to test it.
You could just use HC-05 on both sides.