Go to www.garminconnect.com/start, and download the Garmin Express application.
Follow the on-screen instructions to set up Wi‑Fi connectivity with Garmin Express.
It does seem strange this cannot be done via the mobile app.
Garmin express is the PC/Desktop application that you can setup wifi. I am pretty sure you can setup the wifi via garmin connect (the mobile phone app that you connect the garmin to)
Correct, you cannot connect to any wifi you find when you are out, just those you have pre-configured using Garmin Express. The watch needs to see the wifi networks which connected to the PC. You can then select the networks you want to configure and add the network key within Garmin Express. These are then saved on the watch.