Setting up security associations between end-user devices is a challenging task when it needs to be done by ordinary users. The increasing popularity of powerful personal electronics with wireless communication abilities has made the problem more urgent than ever before. During the last few years, several solutions have appeared in the research literature. Several standardization bodies have also been working on improved setup procedures. All these protocols provide certain level of security, but several new questions arise, such as ”how to implement this protocol so that it is easy to use?” and ”is it still secure when used by a non-technical person?” In this paper, we attempt to answer these questions by carrying out a comparative usability evaluation of selected methods to derive some insights into the usability and security of these methods as well as strategies for implementing them.