Make sure you have connected on the same network, like in my case I connected my laptop through my phone's hotspot. Of course you also need to have internet access and make sure you have successfully installed your app to your phone using react-native run android. If you have successfully installed your app you may now remove the attached USB cable.
Then on Windows, just open your terminal (CMD), then type ipconfig, and then press enter. You will then see the list of your IP configuration. Your private ip address is the IPv4 Address, something like 192.168.0.10.
On your react native project, run react-native start to start the metro bundler. When the metro bundler started it will say Running Metro Bundler on port 8081 <- this is the port that you have to connect through.
On your device go to device setting then to "Debug server host & port for device", then type the computer's private IP address plus the port where metro bundler is running, for example: 192.168.0.10:8081.
Click on save then try to reload your app again.