I found myself trying this out the other night, when we had a power cut at home but still had a 3G signal on the iPhone. I connected the phone to my laptop, using the USB cable, went to the phone's Internet Tethering settings (inside Settings: General) and turned it on. There was a warning about getting charged for it, but I went for it anyway.
Here is how much I ended up paying, as shown on my vodafone bill:
Mobile browsing + data ACCINT 2.844MB £4.167
So I paid £1.50 per MB. That's really expensive!
You can pay for internet tethering on a monthly basis and pay a much lower per-MB rate, but this will only be cost-effective if you use the service regularly.