They are correct, you can configure the neoload proxy in your phones network settings. What phone is it?

I’m an apple person but here is some android instructions: https://www.howtogeek.com/295048/how-to-configure-a-proxy...

Hi, when recording http/s traffic, Neoload runs a http proxy and automatically re-configures a client such as a web browser to route traffic via the neoload proxy, allowing us to capture the traffic. For a a mobile phone or tablet, the principle is exactly the same. Start recording a user path with Neoload but uncheck start the client, so Neoload is just listening. On the mobile device, in network settings, under http proxy, enter the IP address of your Neoload machine and use port 8090. Providing the phone and Neoload machine are on the same wifi network and port 8090 isn't blocked by a firewall, you should see traffic. If the traffic is https, you will need to install the Neoload certificate on the device