Prerequisites

Prerequisites (for JMRI):

Verify your Android device can connect to your network via WiFi and obtain an IP address.
Make sure you are running one of the latest versions of JMRI (3.8 works, 4.20+ works much better) on your PC, connected to your layout. Start up JMRI and verify you can use JMRI's included "Throttle" window to control a loco on your layout.

Start the WiThrottle function of JMRI, located in DecoderPro under Tools, Throttles.  It is also highly recommended that you start the JMRI Web Server function (Tools, Start JMRI Web Server). Both of these should be added to Preferences, Start Up as well.

Prerequisites (for MRC Wifi):

Connect the MRC WiFi module, and verify your device can connect to its network and obtain an IP address.
Note for MRC users: David Fuller has provided some additional setup information [here].

Prerequisites (for Digitrax LnWi):

Connect the Digitrax LnWi, and verify your device can connect to its network and obtain an IP address.