Here’s how you can get your Mac on the Internet using your GSM cell phone (T-Mobile, etc). If you have a CDMA cell phone (e.g. Verizon Wireless, Sprint PCS), see instead How To Use Your CDMA Cell Phone as a USB Modem in Mac OS X. The instructions on this page assume you’re using Bluetooth to connect your phone to your computer. Link.
Use a GSM Phone as Mac OS X Modem