How to Tether your iPhone to a Playstion 3, Xbox or other Internet-capable device
You will need a jailbroken iPhone to make this work (won't work for iPod Touches, sorry). When you get the MyWi app from Cydia, you can turn your iPhone into a mobile hotspot using the 3G network. You can even set up your new hotspot to have a password and protect it. This connection will be a little slow, and is dependent on your reception as well. But now you can take an Internet connection with you wherever you and your iPhone go!