Nothing to do on the iPhone. Most jailbreaks include OpenSSH or you can download (Cydia) OpenSSH onto your iPhone.

 After joining iPhone to Mac over WiFi on unsecured 40-bit WEP connection. We write down the iPhones IP# (169.254.x.y) and then don't even touch the iPhone again, instead we just reverse proxy a secure (SSH) SOCKS proxy back into the iPhone and gain access to the internet through the now tethered iPhone. (No need for any Apple banned applications from the App Store)...

MacbookPro17$ ssh -ND 9999 root@169.254.x.y

I've changed my iPhone root password, but if you have not, the default password is Alpine (change it right away after your first SSH into your phone).

 Now on the MacbookPro17 laptop I just use localhost and port 9999 as the SOCKS proxy and a simple browse in iPhone Safari or checking of Mail will flip the iPhone into accessing the internet which is now wide open for use by the MacbookPro17 laptop to use.

 SSH, freeing the masses everywhere!