how can I capture traffic between two devices on Wi-Fi

To capture, on a Wi-Fi network, unicast traffic not sent to or from the capturing machine, you will probably need to capture in monitor mode. The Wireshark Wiki article on WLAN captures gives a lot of detail on that; the way you capture in monitor mode is OS-dependent - newer versions of libpcap on non-Windows OSes, and current versions of Wireshark, attempt to let you do it by checking a checkbox, but, for various reasons, that doesn't necessarily work on Linux or *BSD, and it doesn't work at all on Windows (to capture in monitor mode on Windows, you'd need to capture with a tool such as Microsoft Network Monitor or use an AirPcap device with Wireshark).

Note that, if the network you're on is "protected", using WEP or WPA/WPA2, you will need to be able to decrypt it; details on that are in the Wireshark Wiki article on decrypting 802.11 - note that, for WPA/WPA2, you will need to capture the traffic that appears when the other hosts associate with the network, so you might have to turn the mobile phones off before starting your traffic capture and turn them back on again after the capture starts. Note also that capture filters work on undecrypted packets, so, if the traffic is encrypted, you can't use capture filters on anything at the IP layer (such as IP addresses) or above, you can only filter at the MAC layer (MAC addresses, frame types, and so forth). You can use display filters once the traffic is decrypted, however.