This is a more precise reframing of questions No secure ad-hoc network with Yosemite? (my use case) and How to create a password protected ad-hoc network on Yosemite (not applicable here).
Background info: With Yosemite (Mac OS 10.10) Apple removed the option to setup a password protected ad-hoc network. However, Internet Sharing allows to setup a secure network to share an internet connection from another network interface.
Now, the problem is that the Internet Sharing network does not work for my use case, since it fails to start up when there is no internet connection to share. Peeking in the console reveals this message:
configd: no interface for external service id
This means, there seems to be no longer a possibility to quickly but securely connect two devices without bringing an external router, unless someone knows a trick or pointers how to configure the Software Base Station, or dive deep down into network config, maybe using ifconfig, natd, ipfw like here: https://blog.netnerds.net/2012/07/os-x-how-to-setup-nat-on-lion-and-mountain-lion/