What method are u using? Proxy? HTTP? Slirp?
Using Installer.app on your iPhone, find "Community Resources" on the list under the Install tab. Tap on it, and then tap install. Then once that's installed, install all of the following:
* BSD Subsystem
* Term-VT100
Launch Term-VT100 on your iPhone, type srelay and hit return.
On your Mac, click the Wifi icon and click "Create Network..." Choose a name like iPhone or something.
On your iPhone, go to Preferences -> Wifi. Connect to the network you just created, and press the little blue "(>)" next to it. Change it from DHCP to Static.
* IP Address: 192.168.1.100
* Subnet Mask: 255.255.255.0
Then tap The <Wi-Fi Networks] button, then press the home button just for good measure.
On your Mac, go to System Preferences -> Network and double click on Airport. Go to the TCP/IP tab and for Configure IPv4: select "Manually."
* IP address: 192.168.1.101
* Subnet Mask: 255.255.255.0
Go to Proxies. Scroll down to SOCKS Proxy and check the little box next to it.
* IP address: 192.168.1.100
* Port: 1080
Hit "Apply Now" ... Open Safari and have fun.
Once you're done tethering, you need to uncheck SOCKS Proxy on your Mac.