Sharing the Internet to your iPhone from your MacBook (securely)
OK so the iPhone doesn’t use your computers internet when connected via USB. Why? I dunno it’s one of the sadly lacking features on an otherwise awesome device.
Sharing the net however via ad-hoc wifi is easy. In System Preferences, go to “Sharing”, select Internet Sharing (don’t tick it yet), tick ‘Airport’ then tick ‘Internet Sharing’.
After you’re done – go into the Network Settings -> AirPort, and create a new network with a password (to stop those leechers). By default it is shared without a password which is dangerous (unless you’re in the desert or something). This new network should have the sharing on it if you did it right – but go back to the sharing tab and double check that it’s still enabled. Then on your iphone connect to your new ad-hoc network and enter the password.
Update: at least in Snow Leopard there is a button on the Internet Sharing settings named “AirPort Options” which allows you to setup the Wifi password in a better (more permanent) way than the one I described.
Update2: I have had some issues with sharing certain networks in Hotels – the iPhone can connect to my computer, but not the internet. One option is to install the proxy server Squid. This isn’t easy, and unless you are a developer with bash experiance I don’t recommend it (if you know what you are doing though it’s easy – just install the unix build tools, download squid, then ./configure, make and run it… default settings are fine – and just set the proxy IP in the iPhone to be that of your computer)
If you have no Wifi card (e.g. on a PC) then bad luck. If you’re on windows I’ll leave it up to you to figure out I’m sure there’s a way :-)
Technically speaking it is possible. Someone made an App to do what you want.
However – AT&T did not like the App (because their “unlimited data” plans all of a sudden can be used to their potential), and leaned on Apple to pull the app (which they did). What’s worse? They pulled it for all countries, even ones with no “unlimited data” plans. So thanks AT&T…
I wish I could do this also, but unfortunately we will have to wait.
Will
NetShare was the App

I understand the process you have listed here, but I am actually trying to do the opposite. I would like the ability to get on the internet on my macbook through an iPhone. Is this possible?
THanks for the help