You can connect up to 5 WiFi throttles. For the standard Mega board, we recommend the Conductor-Friendly Makerfabs WiFi shield below. Keep in mind you can also purchase a Mega+WiFi board online that has both a Mega clone and an ESP8266 built onto the same board. However, you will have to upload new firmware to that board, so that would be a Tinkerer option. See the Mega+WiFi page
For more information on how to configure your Command Station to use the boards below, see Wifi Setup
This is NOT to make a connection to JMRI. Use a USB cable instead. The WiFi and Ethernet solutions are designed to allow throttles to connect directly to the EX‑CommandStation without the need for any other software such as JMRI. While using a WiFi/Ethernet connection to JMRI will work, the overhead required internally will slow performance, take up valuable system memory, and prevent broadcast messages for sensors and power state.