You are probably hitting this issue: http://wiki.wireshark.org/CaptureSetup/Loopback
You aren't really sending any network traffic by hitting 127.0.0.1 since that is a special address. Thus by default nothing shows up during inspection.
Sending it to your local IP should be a workaround, though you might need to make a firewall exception. I've seen both cases happen, actually - the system trying to be helpful and resolving the local IP to localhost and nothing happening, as well as the packet bouncing off the router. Right now, for instance, my linux box resolves my local IP to ray.lan (my box), and my WAN (internet) IP to dsldevice.lan (the router), so in the former, the packets I send are going through the loopback interface, and in the latter, the router is just echoing back my pings.
If worst comes to worst, you can always create a virtual local network.