Tethering is a term specifically for sharing an internet connection using a cable. This option therefore requires a cable. There is also the option for WiFi hotspot, this option, as the name implies, uses WiFi to share the internet. LongHiker as graciously given you the steps to setup this type of connection. Once setup, you can add the option to turn this on or off in the Notification Shade (the window that comes up when you swipe down from the top of the screen). Note that your cellular plan must support this for this to work.
