God, I tried this with my old MacBook and my 360. What a pain the butt. I would be able to connect to LIVE but it was pointless as the MB had a NAT setting I could not change. Made gaming online a waste of time. I even tried hooking it up via ethernet - no go. I was so frustrated I went out and bought the $99 adapter for the 360.
Best thing I can recommend, and how I do my setup now, is get an Airport Express. They are cheap, portable, easy to configure.