If you need to generate some nice promotional pictures, it's good sometimes to put them into context of a real device. You can of course take a picture of your phone or tablet with your game, but I bet it won't look good enough.

Here are two tools that can help you generate the art and make it look more professional:

1. Official Google Device Art Generator - which generates the art for Nexus Devices
2. Android Asset Studio - free tool that offers few more devices

Android platform suffers from variety of different screen sizes and ratios. AndEngine tries to deal with this by letting you specify one resolution and then scaling the resulting picture to any device.

You don't need to care whether the screen size of the phone is bigger than your desired resolution  (AndEngine can enlarge your scene) or smaller (AndEngine can shrink your scene). You place your sprites at coordinates in your resolution. However you still have to hint AndEngine how should the resulting picture be scaled (if at all). And that's what Resolution Policy is for.

You might want to have multiple sets of textures for let's say two or three typical resolutions. For example low-res, normal and HD textures. But that is a more advanced topic.