This is generally a good link to reference regarding what is involved:
Also, just to make sure, You installed the Sonoff Connect SmartApp and the Sonoff device handler right? Then, when you go into the SmartApp on your phone discovery is done through the SmartApp and not the SmartThings general device discovery. The page should look like this:
Sometimes it takes 5 or so minutes for the switches to send out an SSDP packet.
If that isn’t working, like I said, you can add the switch manually. In the IDE, click on the “My Devices” link. From there click on “+ New Device” in the upper right corner. Fill in the information and select “Sonoff Switch” as the Device Type. For the “Device Network Id” put in random characters. The device handler will set this to what it needs to be once you put the ip address in. Hit “create.”
The device should now show up on your phone where you can input its ip address.