The camera sets up it's own little WiFi network, which your phone (or tablet, laptop, etc) then connect to.
You don't need to make a change on your phone, UNLESS it is set to automatically switch to the 'best' network - in which case it may connect to the camera, then automatically switch away when it finds the camera does not provide access to the internet.
'Hotspot' on your phone is an option for your phone to act as a WiFi router for other devices, sharing it's internet connection (via Data) to a tablet, for example. - you don't want that in this case.