You need to run in monitor mode; promiscuous mode doesn't always work with Wi-Fi adapters (and may not even be supported for Wi-Fi on some OSes or with some Wi-Fi adapters).
Whether Wireshark can do it by itself depends on the OS. On OS X, it can; on Linux, it could, in theory, but for complicated reasons it can't, on most if not all distributions, in practice, so you need aircrack-ng's airmon-ng script to turn monitor mode on, and you can capture after that; on Windows, it can't do it at all except with an AirPcap adapter; on other OSes, maybe, maybe not. See the Wireshark Wiki's page on WLAN capturing for details.