How do I turn wifi on my Android?

Tap Settings (System settings) > System (All settings) > Wireless & Networks > WLAN. Tap the WLAN slider to turn WLAN on. The device will scan for available WLAN networks and display a list of network names.

They say hacking is more at risk when using a wifi than data in your phone, is it true?

That is true. As wifi can catch viruses as well as hackers who easily log into your account. With data, you just your your phone number and is more safe because your internet is not shared.