Well it worked, both with Bluetooth and USB. I have no idea what went wrong the first time I tried it, mainly because it's so straight forward to set it up and quite intuitive. I'm sure I was using the same settings as well!
Nevermind it's working now! Now I can use my iPhone to connect to my laptop to allow my (future) iPad to connect to the web when I'm away from home!!
I have an issue with creting an ad-hoc network on my MacBook, I get an error message saying that a computer-to-computer network could not be created.
This happens if use channels 1-13 but if I use channels 36-48 it works. However the issue with this is the iPhone and iPod touch (and very likely the iPad) are unable to use channels 36-48 to connect and therefore unable share the connection.
I created a network using a T-Stick and while I can "share my internet connection" I still need the other devices to be able to connect to it, and unless they work on channels 36-48 then it won't work.
Cheers nzbullet Note: My thoughts and comments are my own and not of anyone else including my employer