New user of router question

Just got the GL-AR300M16.

Do I need to do the setup ( on the phone I will be tethering or can I use any phone?

You can set up the GL-AR300M16 through a browser on any device that can be connected either to the LAN port or the wifi of the router. You have to connect the phone to the USB port of the router in order to set up tethering.

I do not work for and I do not have formal association with GL.iNet

Probably actually easier if you use a different device. Tether your phone via USB then setup on a different device.