With the introduction of iOS4.3 for the iPhone 4, it will be possible to turn your iPhone 4 into a Mifi device or a Personal Hotspot as it's described in iOS4.3.
I have included some screenshot and brief instructions on how to do this. It is very straight forward but in case you want to see how it looks, here it is.
Go into Settings and tap Personal Hotspot:
Slide the switch to turn the function on. (Notice the instructional text here)
You can use the suggested password or tap the password to enter a new one.
Here is where you would enter a new password.
Now you can go to your iPad or Wifi enabled computer, MacBook for example and you should see iPhone 4's name appear in the list of available networks.
