Tetherbot is handy for quick and dirty internet access through your Android phone. It's not full on tethering - since you don't get a network interface - but having a Socks proxy works out fine in a pinch.
The only thing about it that isn't absolutely obvious is that proxying does no good if you don't have DNS. Firefox does not, by default, proxy DNS requests over SOCKS even if you set it up to use a SOCKS proxy (would be intelligent to do so, when the regular network interface is down, but there you are).
To make this work you need to open a tab to about:config and find the network.proxy.socks_remote_dns setting and set it to true. You should set your socks proxy to be a SOCKS5 proxy btw.
That's all - now Firefox is proxied, and that's good enough for me. Almost everything I need can in turn be reached via the browser.
(exception is SSH, but that's easy to fix. Follow the "port bouncer" instructions for Tetherbot).