Internet sharing from Macbook

I have my Macbook connected to the Internet via a mobile USB modem.  I'd like to share this connection with my iPhone.  I tried this but don't see the Macbook from the iPhone when I try to join a network.  I'm using OS X 10.6.3.  

In the sharing section, I have "Share your connection from" set to Airport.  The only option under "To computers using" is Ethernet.  However, I do want to share from the Macbook wirelessly.  Any suggestions how I can get this going?

Also, where are the encryption options as mentioned in the article.
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