You do not have to install NeoLoad on your mobile devices. Basically, install NeoLoad on a computer where you can connect to a WIFI network like with your Android/Iphone mobile. They have to be connected on the same WIFI network.

If you would like to record an HTTPS application, then you will have to install the NeoLoad Root certificate in your mobiles.

Make sure that you do not have any firewall on your NeoLoad computer or allow port TCP 8090 for incoming connection.

Then you need to follow the recording procedure described in that user guide here

For more information you can also look at the NeoLoad documentation here