It's very simple. The only problem I have with it is that if you set your iPad down for a few minutes (meaning you aren't actively using the connection) it will disconnect. I know it's to save the battery power on your phone when the network isn't needed, but I wish it could stay open when not in use so I can get my iMessages and stuff on it all the time. But the tethering process itself is very easy, as maflynn said.
Are there unlimited plans that offer tethering? I thought it was only available on tiered or shared plans...