Similarly to making your PC a wireless access point, but can be much easier, is using reverse tethering. If you happen to have an HTC phone they have a nice reverse-tethering option called "Internet pass-through", under the network/mobile network sharing settings. It routes all your traffic through your PC and you can just run Wireshark there.
For Android phones, any network: Root your phone, then install tcpdump on it. This app is a tcpdump wrapper that will install tcpdump and enable you to start captures using a GUI. Tip: You will need to make sure you supply the right interface name for the capture and this varies from one device to another, eg -i eth0 or -i tiwlan0 - or use -i any to log all interfaces
For Android 4.0+ phones: Android PCAP from Kismet uses the USB OTG interface to support packet capture without requiring root. I haven't tried this app, and there are some restrictions on the type of devices supported (see their page)
For Android phones: tPacketCapture uses the Android VPN service to intercept packets and capture them. I have used this app successfully, but it also seems to affect the performance with large traffic volumes (eg video streaming)
For IOS 5+ devices, any network: iOS 5 added a remote virtual interface (RVI) facility that lets you use Mac OS X packet trace programs to capture traces from an iOS device. See here for more details
For all phones, wi-fi only: Set up your PC as a wireless access point, then run wireshark on the PC
For all phones, wi-fi only: Get a capture device that can sniff wi-fi. This has the advantage of giving you 802.11x headers as well, but you may miss some of the packets
Capture using a VPN server: Its fairly easy to set-up your own VPN server using OpenVPN. You can then route your traffic through your server by setting up the mobile device as a VPN client and capture the traffic on the server end.