With the release of firmware 3.1.3 the tethering option is back on the iPhone. After the reboot of the iPhone you get additional fields in the 'Cellular Data Network' section in the 'Network' menu (Settings -> General -> Network -> Cellular Data Network). Just enter the appropriate information in the APN field (for KPN in the Netherlands enter internet in the APN field) and the Internet Tethering option is back (w00t) in the 'Network' menu.
Just follow the following images clockwise, starting at the 'Cellular Data' image.
After i paired the iPhone with my MacBook over Bluetooth, I had the option of connecting to a network... The Internet network in this case :-)
When I connected the iPhone to my iMac with the USB cable I got the following message;
So everything seems to work.... Finally
I just hope that we don't get a firmware update (3.1.3.1) tomorrow, which removes this excellent feature. You never know with Apple.
Note: I had installed a carrier profile somewhere last year (which didn't help back then) from http://www.benm.at. I did remove this profile, and rebooted the iPhone. No idea if this actually helped in getting it to work.