In iPhone 3.0 beta 1, tethering didn’t work. In beta 2, it does and it’s really simple to achieve. It does require a quick mod to your iPhone. Here’s what you have to do:

1. Download the o2_uk.ipcc carrier details file. Please note that this is the UK ipcc file. If you’re not on O2 in the UK, search google for your suitable ipcc file.
2. Connect iPhone to PC / Mac and select to restore with the option to select a custom restore package (hold down option on Mac before selecting restore)
3. Select the ipcc file as the restore package. The change of details on the phone takes only a few seconds and doesn’t require an iPhone reboot
4. Go into iPhone Settings app > General > Network > Internet Tethering and enable.
5. Connect iPhone to PC / Mac over USB or bluetooth
6. The PC / Mac will do the rest
7. Done!

Works great (i’m posting via tethering now)