Those modules work, and I have two here on my desk that I tested MAV Pilot with. That said they use TCP connection which is ok if you are using the device as a bridge to a long range radio. But if you are using the radio onboard, it’s better to use the ESP8266 with firmware that supports UDP connections, as they are much more reliable.
The units I recommend are the AdaFruit Huzzah
The Serial WiFi 1.0 from Deal Extreme
You could also got for an ESP8266-01, but you’ll need to find 3v3 power to run it. (The above suggestions have built in voltage regulators for 5V or 3.7V
You will need a FDTI cable to reprogram the FW to enable UDP
