There are several ways to do it. At home I run mitm-proxy and sometimes squid.

For on-phone use, so you can grab cellular data, Charles:

https://www.charlesproxy.com/documentation/ios/

Network blocking like PiHole can block it, but on Android, I also use Blokada, which traps and logs outbound requests to domains on the block list. I also sometimes use ClassyShark3xodus to scan apks for trackers. https://f-droid.org/en/packages/com.oF2pks.classyshark3xodus...

Also Netguard, pay 6 euro or greater 1 time donation and monitor all outbound requests, among other things