Double-click that interface it should pop up a dialog letting you edit the interface options. It should pop up a dialog with a list of interfaces at the top, including the one labeled as 'Wi-Fi'. If it does, try clicking on 'Capture Options'. 'Wi-Fi: en0' (which is what displays on my Retina MacBook Pro, running 10.8.3 - BTW, 10.8.4 is Mountain Lion, not Lion) or 'Wi-Fi: en1'? When you start up the latest version of Wireshark (1.10.0), what does it show you in the 'Capture' section of the main window? Does it show any interfaces? If so, does it show one as 'Wi-Fi', e.g. Older MacBook Pros will have both, with en1 being your AirPort (wireless) adapter the Retina MacBook Pros don't have a build-in Ethernet, and en0 will be your AirPort adapter. If that's all the case, Wireshark should show an en0 device and possibly an en1 device. In addition, the id command should report you as being a member of group access_bpf. as having permissions rw-rw- and as being owned by root and group access_bpf.

Open up a Terminal window and do ls -l /dev/bpf* it should report the /dev/bpf* devices, e.g.

Recent versions of Wireshark, going back at least to Wireshark 1.8.0, install a script to do that automatically. That's not something necessary to sniff in promiscuous mode, it's something necessary to sniff at all unless you're running as root. That's probably referring to the permissions on the /dev/bpf* devices. I recall having to setup a script on terminal to 'tweak the permissions' of some files / drivers

How to enter promiscuous mode wireshark