For Windows,
You cannot capture packets for Local Loopback in Wireshark however, you can use a very tiny but useful program called RawCap;
RawCap
Run RawCap on command prompt and select the Loopback Pseudo-Interface (127.0.0.1) then just write the name of the packet capture file (.pcap)
A simple demo is as below;
C:\Users\Levent\Desktop\rawcap>rawcap
Interfaces:
0. 169.254.125.51 Local Area Connection* 12 Wireless80211
1. 192.168.2.254 Wi-Fi Wireless80211
2. 169.254.214.165 Ethernet Ethernet
3. 192.168.56.1 VirtualBox Host-Only Network Ethernet
4. 127.0.0.1 Loopback Pseudo-Interface 1 Loopback
Select interface to sniff [default '0']: 4
Output path or filename [default 'dumpfile.pcap']: test.pcap
Sniffing IP : 127.0.0.1
File : test.pcap
Packets : 48^C