I just wanted to share my experience with tethering my iphone. I use an app called netshare to create a SOCKS proxy that my computer connects to. This app was released for a short time and is no longer available from the app store. It has some issues that will never be resolved because apple does not support it any longer.
Another option is to jailbreak your iphone. With a jailbroken iphone there are multiple ways to tether. One of the most popular ways I have heard of is with pdanet. It seems like a great app, but you must jailbreak to use it. If you want to jailbreak, there is tons of info available if you google it.
There is a rumor that apple is going to bring legit tethering, but it might cost more.
Does anyone have any other ways to tether?

