Arduino Mega 2650 + Wemos D1 R2 configuration and connection

Hello,

I try to figure it out how to program a mega board connected to a Wemos D1 R2 to use RemoteXY. I've use the website to create a source code for the MEGA board, but do I need to program the Wemos D1 R2 with some baic setup for it ?

Basically, I want to add Wifi control to my project on a MEGA board : I want to push/received data and command to the Mega board with wifi by the Wemos board. I have a Wemos D1 R2 at hands and wishe to use it for this purpose.

Sorry, I'm really new to this IoT thing, but not so bad at Arduino...

To test this setup, I've create an app with only a button to activate the Mega board led (pin 13) with the RemoteXY website : connection WI-FI, board MEGA, module ESP8266, Arduino IDE.

So I've installed the RemoteXY library in Arduino IDE and uploaded the generated program from the RemoteXY website on the Mega board. Then I've connected the Mega board to the Wemos D1 R2 board by the RX/TX (hard serial). Then I've rebooted everything.

I've installed the RemoteXY app on my Android phone, but I can't see the RemoteXY access point on my Android phone. It's not listed in the Wifi setup...

Do I need to program the Wemos in some way ?
What baud rate should I use ? 9600 (Mega 2650) or 115200 (Wemos) ?
Should I put a resistor from the Mega Tx to the Wemos Rx since Mega is 5V and wemos is 3.3V ?
Is there something I'm missing ?

Any help/hints are welcome !

Thank you !