This thread got me setup with Internet sharing from my Macbook http://www.experts-exchange.com/Apple/Operating_Systems/OS_X/Snow_Leopard_OS_10.6/Q_25736058.html
. But when I try to connect my iPhone or iPad, both connect but then can't surf. Each tries to load a page but fails with the "Cannot open page" error. The Macbook is able to surf fine.
For the "Share your connection from", I have my mobile modem selected, since that is how it gets its Internet connection.