Hi,
You will need to make a copy of each module. For example suppose you have a module (mymodule) which is published to the footer of your main site. You will need a copy of mymodule which is published to mj_all_footer as well.
This is found in Joomla admin back end, Extensions > Module Manager
If the position you want to publish to is not "common" to all 4 mobile templates, for example mj_iphone_middle2 is only found in the iphone template, then you will need 4 copies of mymodule, one for each of the mobile templates.
Hope that helps.