See below and the link.
.Now you need to enable WiFi hotspot feature on your phone ( or on the other phone ). To do this, go to Settings > Internet Sharing and enable it. However, because of Windows Phone OS restriction, it is not possible to enable hotspot feature without enabling the cellular data connection first. Go to Settings > Cellular + SIM and enable Data Connection. After enabling WiFi hotspot, you may turn off the data connection if you are worried of consuming your mobile data.
3.Open the app Easy Transfer or any other app which supports HTTP file sharing or WiFi file transfer. Apps like MoliPlayer, File Manager by binbina and Pocket File Manager also has that feature. Note the url address shown on the app.
http://www.lumiamine.com/wifi-direct-on-windows-phone/
Otherwise you need to use Bluetooth or swap SD cards or use a PC.