The following code will set a label (lbl_myip) to display your phone's IP address. I recommend first connecting to your WLAN, otherwise you're going to get your 3G IP and service providers may or may not allow connections.
ServerSocket1.Initialize(4000,"ServerSocket1")
myip = ServerSocket1.GetMyIP
ServerSocket1.Close
lbl_myip.text = "My IP is " & myip
But, yes, any network connected device will have an ip address. In a client/server model, you really only have to worry about clients connecting to the server ip. ex: phone1 decides to host a game, you click a "host" button and it starts the server(serversocket.listen etc etc), and tells the user his IP address. the user then tells all his friends his IP address. phone2 and phone3 type in the ip of phone1, and click a "join" button (socket1.connect etc etc) the _connected event is raised and successful, you initialize a stream and begin passing data. It isn't that bad actually.
If your game is slow paced, and dependent on reliably transferring data, I defintely recommend you use a prefixed AsynchStreams to pass your input and output stream data.