Tethering is decided by Apple on which what Carriers are allowed to use tethering on the iPhone. Only the main carriers that sell the iPhone themselves are supported. These are "Official carriers", such as o2, EE etc. GiffGaff is not one of these, it is a mobile virtual network operator. This means it doesn't have it's own spectrum frequences to create it's own network therefore 'shares another'. So, unfortuntenly, this feature is unavaliable to you. On other phones whereby it isn't rescricted by the manufacture, it works. Sorry. To bypass Apple's restriction, you can jailbreak it which will void your warrently and is somewhat unprofessional, unsupported, frownd apon.
This is a link incase you would want to do so.