Step one
Set up your a network using Airport call it whatever you like, I called mine iPhone Tether. You can protect yours if you wish I was in a rush so I didn't. Step Two
Open up system prefs go to network select Airport on the side, I set up a location also called iPhone Tether you don't have to. Don't worry if you don't have the same settings as me just make sure you have created the network from your mac. Select Advanced. Step Three
Under TCP/IP select using DHCP with manual address then enter any IP for your mac, I used the one suggested by NetShare. Step Three
Select Proxies and tick SOCKS Proxy. In the SOCKS proxy server enter a similar IP address as your mac's one this will be your iPhone's IP. Step Five Click ok and then click apply in system prefs. Step Six
Under settings on your iPhone select Wi-Fi and connect to the network you just created, tap the little blue arrow next to the network name. Step Seven
Go to Static, under IP address enter the same IP address for your iPhone that you put in the SOCKS Proxy. Step Eight Open NetShare and open your browser on your mac and enjoy
Notes -You will also notice that when your iPhone goes to sleep or you exit the netshare application it will quit and your mac will have no internet access via your iPhone. -AIM, MSN, Adium, skype ect will not work unless you specify the SOCKS proxy under the application's settings on your mac. - You have to create the network every time you disconnect from the network you created on your mac, Your iPhone should remember the network and connect unless its already connected to a different network.
Source: http://forums.macrumors.com/showthread.php?p=5950329 User Mac-Addict