Yep I do it with my HTC Desire. Will have to check when I renew as currently its included in my 3gb T Mobile allowance, of which I use about half…sounds like thats not the case anymore 🙁
Its very easy, one button press and its on, then lappy/tablet connects automatically. My only complaint is I can’t seem to change the default 1234567890 access code, so technically anyone who uses their Desire can ‘accidentally’ connect to my phone, and vice versa. But its only on when I’m using it and you can limit the number of connections to 1 or 2 devices at any one time.
When my works Toughbook has a tantrum and won’t connect using its own modem, it will connect to my phone too, and the VPN works as well.