Yes you do need Wlan activated on your cell to access a local webservice, you should essentially be in the same network of your desktop machine.
I would rather use any other wlan connected machine to test my webservice on another machine, and be sure of it, may be write a small testbed app to check the webservice.
you can also open your webservice wsdl page on your phone, and see if it opens well, now your code must be able to call your webservice from your desktop's hosted webservice.