Hi, first of all: this could violate your Providers Terms of service —> you're on your own on this one :)
And now: just a short "howto"; for all the people interested:

I'm assuming you have an unlocked iPhone at hand with the following things installed:

-Services.app (you don't need that one… but it's nice to be able to disable ssh as it seems to draw power)

what you now have to do:
1. create an ad-hoc network (it's called "netzwerk anliegen"; in the german OSX)
2. enable ssh on your iphone
3. join this ad-hoc network with your iphone
4. go to terminal and use the following command to ssh to your iphone
ssh -D 1337 -l root
the password is "alpine";
( = my iPhone atm, check your iPhones IP using the "Wi-Fi"; Settings page
5. now use localhost:1337 as your socks proxy in the application of your choice

Voila! :D

EDIT: To surf via Safari and do other stuff, simply select localhost as a socks proxy :)