You may need to jailbrake your iPhone, this is the way it was possible with 1.0.2 firmware.
I haven't use it, and have no idea if it works with latest firmware/baseband.
http://www.hackthatphone.com/74/iphone_tethering_mac_74.html
And as it's mentioned in the website it will be a violation of your AT&T contract in the USA.