You can do this with Wireshark: http://www.wireshark.org/download.html
The instructions below are for Mac + Android device:
Start the terminal and run the following commands:
cd /dev sudo chmod a+r bpf*
Internet connection using Ethernet cable
Click the "Airport / Wi-Fi" icon in the upper right corner of the screen and select "Create Network"; remember the name you give to this network
Go to the "System Preferences" section, open the "Sharing" panel, select (but do not check) "Internet Sharing"
Select "Shared Connection": "Ethernet", "To computers using: check AirPort / Wi-Fi
Click "AirPort / Wi-Fi Settings" and enter the network name that you selected above (it should be displayed automatically, so just click "OK")
Check the box next to "Internet sharing"
Click Start
Connect your Android device to the network you just created.
Launch Wireshark
From the menu, choose Capture โ Interfaces. Click "Options" next to en1 (or some Wi-Fi icon)
Click the Capture Filter button:
If you want, select one of the filters, for example HTTP TCP Port (80) and click OK
Click Start
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