One way of proxying your mobile device's traffic through Burp is by setting up an ad-hoc wireless network. To set-up this network you will need to ensure that your Internet connection is functioning correctly before proceeding with the following instructions.
Open the OS X context menu, and choose “System Preferences”.
Select the “Sharing” icon.
In the “Sharing” window select the “Internet Sharing” option so that it is highlighted.
In the “Share your connection from:” drop-down, select the network interface that you normally use to access the Internet.
In the “To computer using:” table ensure that the checkbox next to the “Wi-Fi” is selected.
You can optionally set up your network name, channel, and security options by selecting the “Wi-Fi Options...” button that appears when selecting the “Wi-Fi” option.
Next click the “Internet Sharing” option checkbox from the Services table.
You will be presented with a pop up asking whether you are "sure you want to turn on Internet sharing?"
The checkbox should now be selected.
Your Mac will begin sharing your Internet connection over Wi-Fi using the network name selected in the “Wi-Fi Options…”.
You should now be able to connect to the new wireless network with your mobile device, just as you would with any other wireless network.
When you wish to stop sharing, simply uncheck the “Internet Sharing” checkbox in the services list of the Sharing preference pane.