Erm you can't tether a normal goodybag, it's against the terms and conditions. You need a gigabag.
If you have a gigabag, what you need is an app that will allow you to tether. Try 'Mifi', it is meant to allow you to tether either by connecting your laptop with ur phone, by creating a wifi hotspot, or via bluetooth
EDIT: it is not tethering if you have a gigabag running on your sim, which you then put in your iPhone. This would reduce the need to buy a dongle