With a real device it's very easy. Use the Wifi on the device (airplane mode) and set HTTP Proxy to point to your computer.
Here is a complete webinar with step by step details on recording iOS traffic with JMeter's proxy:
http://www.youtube.com/watch?v=uZFch4B5Ivc
(technical stuff starts at 13 minutes in)
Here is a blog with details for Android (it's the same idea for as for iOS):
http://blazemeter.com/blog/load-testing-mobile-apps-made-easy