So is there way to make local wifi network from ESP8266.... I would like to have like mobile screen share device without using router for local network.... you know what I want right? I want to connect to it and share all devices over just like local network
If you set the WiFi mode to AccessPoint (with it's own SSID and password) then you can connect to the ESP directly.
WiFiAccessPoint example in the IDE, and lots of info/tutorials online.
Leo..
Using the access point mode you can connect to the ESP8266 but not to other devices using the same "access point" (as far as I know).
So if you question was "can the ESP8266 be used to have WiFi access point without a LAN interface (just WiFi)?", the answer is no. There are cheap and tiny WiFi router for that task available though (TPLink is a quite famous example).
In order to achieve that, you could try something like this.
Create your Wifi Server in a strong module i.e. Arduino YUN or Raspberry Pi and then connect all your ESP8266 devices with the Wifi Network provided by Arduino YUN. You can use access point mode in Arduino YUN quite easily. If you use Raspberry Pi then that's even powerful.