After settings the proxy in your mobile, if you start a recording on NeoLoad side and then open your browser mobile to reach any web site, you should see the recorded requests in NeoLoad.

If you are not able to browser any web site due to a proxy error make sure that you do not have any firewall on your NeoLoad machine. It's most of the time the root cause of such issue.

For more information you should check the Mobile user guide here