Found this on cnet:
According to CrunchGear you can also turn tethering on and MMS directly from your iPhone by visiting this Web site using Mobile Safari: http://help.benm.at/help.php. We tested tethering and that worked, but have yet to get the MMS portion of this Web sites hack up and running.
via How to activate tethering on any iPhone without jailbreaking | iPhone Atlas – CNET Reviews.
I went to that help.benm.at/help.php file from my phone installed the package, restarted my phone, went to my settings and just followed the pictures from here. Obviously I couldn’t read it, but the pics explained it perfectly.
I’m totally stoked. Now, hopefully AT&T won’t fuck this up 
Note: I’ve noticed that my visual voicemail has stopped working correctly since doing this, I found this which is supposed to fix that:
Basically, you just go to Settings -> General -> Reset on iPhone, and tap Reset Network Settings. The iPhone will reboot. After the restart, MMS, VVM and tethering should be working fine again.