Just turn on network sharing over wifi and run a packet sniffer (in osx). then connect to the new network from iphone over wifi.

SystemPreferences->Sharing->InternetSharing

Cocoa Packet Analyzer http://www.tastycocoabytes.com/cpa/index.php

You could do that but an HTTP proxy like Paros gives you a much nicer view of what is going on because it operates at the application layer instead of the network layer.