None of the things mentioned in this article have worked for me.
Every single time I want to tether using my AT&T iPhone 4 and my new MacBook Air, it is a battle getting it to work. I have to reset the iPhone, restart the MacBook, sometimes more than once and then finally, it will work. Ironically, my jailbroken tethering worked just fine. Always.
Mac mini, Mac OS X (10.7.1)