This is rather simple but I will use screenshots to make it even easier.
1. Go to Settings -> Cellular and enable "Cellular Data" and "3G"
2. Again go to Settings -> Personal Hotspot -> and enable (of course) Personal Hotspot.
3. If you do not like the automatic password change it.
4. You have 3 options to connect: Wifi, bluetooth or USB.
5. The simplest way is Wifi. You just have to search for your iPhone's name and connect using the password from point 3.
In my example below is "patrues":