I think it depends on your service; if they allow tethering and if there are any charges for it. I have a plan that allows tethering but I have 1GB of data per month on my iPhone. So tethering for streaming movies on the iPad tethered to my phone would not be a good idea as the data charges over 1GB are STEEP! However, when I'm sitting with my iPad at the lake and have no WiFi available (my iPad is WiFi only), I'll tether it to my iPhone to read email or something like this forum as they are not data intensive. Save all your APP updates and large data transfers for when you're back on a WiFi connection.
Just turn your iPhone's "hotspot" on and the iPad will recognize and connect with the password you set on the phone.