I have the same problem described here:
My iPhone is tethered to my Mac laptop via Bluetooth or USB.
I want to set up a proxy on my Mac for use with the iPhone network interface, but unfortunately in Mac OS X 10.6, under System Preferences -> Network, the iPhone Bluetooth and iPhone USB network interfaces lack the standard options under the Advanced… tab. These Advanced… options are available in other interfaces (e.g., Airport, Ethernet, etc.).
I want to use the polipo caching proxy for tethered browsing, but I am unable to define an HTTP Proxy in the GUI, since these options are missing.
The prefpane windows for my tethered iPhone's network interfaces (Bluetooth & USB) looks like the image link in the post above, and is missing the normal options for network interfaces:
Does anyone know a command line workaround for setting up an HTTP proxy, or some way of modifying the prefpane settings for the iPhone network interfaces?