Unless you're actually playing a game on your phone you should probably just say 'I'm on my phone.' If you are playing a game say 'I'm playing on my phone.' If you're not doing anything of importance you can say 'I'm playing with my phone.' There's a little nuance between each statement, but if you're unsure being ON your phone is will probably work in all cases.

You need a preposition. "I'm playing with my phone" is used when you're not doing anything important, but rather lost track of time while you're texting, gaming, or whatever. "I'm playing on my phone" is used if you're doing something a little more purposeful.