I managed to get it working with my macbook connected to my 360 and my iPhone tethered to the macbook by following both these tutorials and some of the helpful comments. Though if I remember right (this was a while ago) I constantly had NAT problems with the 360, so I'm not sure gaming would work. I definitely enabled the 360 to download updates with that setup though.
Weirdly enough a week later and it just worked after a reboot of the iPhone4 with the automatic IP & DNS settings. I did see some warnings on the xBox regards the NAT settings on the handset which may restrict the gaming experience but xBox updates wise this is all good.
So nothing changed on the handset and I had tried reboots before and the hotspot app was showing 1 connection from the xBox previously so I may question whether the data session to XT was being set up correctly. I'll do more testing in the coming week and see if the direct APN affects the NAT warning on the xBox.
________________________________________________________________________________________________________ Not one shred of evidence supports the notion that life is serious.