How to use Fiddler to debug traffic from Any app (eg. C#/WPF app)

I am tring to debug whats wrong with my HTTP requests from another question here on SO. So i read a bit about Fiddler and wanted to use it to debug my problem. But I can't seem to get traffic from my WPF application to go through Fiddler. I believe I need to configure a proxy. I am using a WebClient for a basic example, but I think i will require a WebRequest later. But for now, with a simple WebClient, how can I get it to go through Fiddler (I believe I have to set proxy to localhost:8888)?

UPDATE:

I don't know if i did the right thing or not but I tried

var wc = new WebClient();
WebProxy proxy = new WebProxy();
proxy.Address = new Uri("http://localhost:8888");
wc.Proxy = proxy;

but failed - I don't see any traffic in Fiddler

I tried ...

var wc = new WebClient();
WebProxy proxy = new WebProxy("127.0.0.1", 8888);
wc.Proxy = proxy;

still nothing