Managed to do it by accident but now that I learned the right way to do it, I’m sharing :)
Pair the headphones with both the Mac and the iPhone, and leave bluetooth on on both devices. Turn off the headset.
On the Mac, open the Bluetooth Preference Pane and check Show Bluetooth status in the menu bar. From the menu bar, click the Bluetooth icon, find the Nokia BH-503 entry and click Use as Audio Device (Stereo); then quickly hold the headset’s multifunction key for 2 seconds to turn it on.
If the timing is correct, the Mac will use the headset for stereo output and the iPhone will use it for input and mono output. It works just as expected: if you’re listening to music on iTunes and make or receive a call, iTunes pauses and resumes playing. But if it’s left idle for too long, the iPhone will disconnect from it to save battery.