Back around the time this SE question was asked (2013), I was using an awesome open-source app [1] to tether on my iPhone. It was very easy to use, though you had to be able to compile and run it yourself, as there's no way it would be allowed in the App Store. I would be surprised if something similar didn't exist for Android.

I needed to tether on train rides a few times a year, which was really not worth paying for the service. Nowadays I can do it without an exorbitant extra charge (aside from the extra data that tethering guzzles), so there's no need for it.

[1] https://github.com/tcurdt/iProxy