Settings > General > Network > Personal Hotspot (that's in 5.1; it may have moved slightly in 6). Once you've used it once, it'll appear in the base Settings menu.
Under iOS 6 you should be able to go to Settings > Personal Hotspot. Turn it on & you have the option of setting a password or not. Then on your/someone elses device they look under their network settings for the name of your phone and join your network from there - either with or without a password, depending on how you set your Hotspot security. This option may only show up if you have an official carrier for the iPhone & it downloaded a carrier update file when you first activated the phone.
Are you subscribed to our RSS feed? You can download the latest headlines and summaries from our stories directly
to your computer or smartphone by using a feed reader.