I occasionally use the Camera Connect app to transfer JPEGs from the camera to the phone for fast distribution during an event. I ALWAYS start using the app in test runs at home a few days before the gig to be sure everything is working properly and that any phone updates haven't changed some of my phone's settings that might affect using the camera connect app. It can be a frustrating process that isn't at all intuitive.

It's not clear from the information you've provided in your question what other things you've done or not done which may be affecting your ability to successfully make the connection.

The first thing you must do is disconnect from whatever other Wi-Fi connection your phone is using. You might need to go to the settings in your phone for that connection and temporarily disable "automatically connect when this network is available" or your phone might reconnect to the other network before you can complete your connection of the phone to the camera's Wi-Fi network. This is especially true when trying to set up the connection for the first time.

You must have the camera's Wi-Fi network turned on before trying to log in to the network from your phone.

If you've not connected the camera to a phone before, you'll need to set up the connection in the camera. Before you can configure a "SET" within the camera's menu, you must give the camera a 10-character nickname using the fourth menu item at Settings 4 [the fourth tab under the yellow wrench symbol] → Communication settings → Built-in wireless settings → Nickname. You also need to confirm/give your phone a nickname from within the Camera Connect app on your phone. The easiest way I've found to do all of this is to follow the instruction guide included in the app on the phone. On the Wi-Fi connection screen there's a button underneath the words "detailed instructions". The button itself says "? Camera operation". When you press it the guide will prompt you for each step. You may need to scroll down manually on your phone to get to the next step.

It should guide you through the process of setting up a connection using the camera's menu: Settings 4 [the fourth tab under the yellow wrench symbol] → Communication settings → Built-in wireless settings → Wi-Fi function → Connect to smartphone → Choose set.

If no SET has been configured, each of the three options (SET1, SET2, SET3) will have "(not configured)" on the line with the set number. Select one of them and follow the menu to configure it, using the instructions from the help guide on the phone if necessary.

Once you get to the screen that shows the camera's SSID and encryption key, use your phone's Wi-Fi connection menu (outside of the Camera Connect app - you're connecting to the camera's network using your Android Settings → Network & Internet → Wi-FI menu, just as if you were logging on to a friend's Wi-Fi when visiting their home) to connect to the network name displayed on the camera's screen. Use the encryption key displayed on the camera's screen as the password. If, after a few seconds, your phone prompts you with something like "This network has no internet connection. Connect anyway?" tell it to connect/stay connected anyway. If the camera doesn't display the SSID and encryption key and you need them, use Review/change settings → Change set → Easy connection → OK to display them. You may need to scroll through several screens of info to see the SSID and key.

Once your phone shows you're connected (*with no internet) to the camera's network, the camera should prompt you "Connect to this smartphone: xxxxx" (with xxxxx being your phone's nickname). It may take a few seconds for the camera to detect the network and ask if you want to connect. Highlight and click "OK" using the [SET] button on the back of your camera. The app on your phone should indicate you're now connected and you can close the guide within the Connect Camera app on your phone and the home screen of the app will reappear.

If you've already got SET1, SET2, or SET3 configured to work with your phone, the steps are a bit different the next time you use the app. You don't even need to open the Camera Connect app yet. On the camera go to Settings 4 [the fourth tab under the yellow wrench symbol] → Communication settings → Built-in wireless settings → Wi-Fi function → Connect to smartphone (enable Wi-Fi if it is not already enabled before clicking on Wi-Fi function). If the first line shows a previously configured SET you've used with the same phone, highlight 'Connect' and press the [SET] button. The camera will show "Connect to Device". Highlight "OK" and press the [SET] button. Then go back to your phone.

Use your phone's Android settings menu to sign in to the camera's network, which should be detected and saved in your phone. If you don't already have the Connect Camera app open, once connected (*with no internet) open it and the connection should be automatically detected by the app.

The thing to keep in mind is that the entire Wi-Fi function section of the Settings 4 [the fourth tab under the yellow wrench symbol] → Communication settings → Built-in wireless settings menu is dependent upon the current status of several things. If there's no smartphone/device detected you'll get one set of sub-menus. If the phone is connected you'll get a different set of sub-menus. What happens within each screen within those sub-menus changes depending on if the phone is connected to the camera's Wi-Fi and whether or not the Camera Connect app on the phone is also connected to the camera.