I am using El Capitan 10.11.2.
I go to sharing and select 'Display Ethernet' in the Share your connection from menu. The display ethernet port is the port with the ethernet cable leading to the internet.
I check 'Wi-Fi' from the To computers using: list and turn on Internet Sharing.
From another device, I do see the Wi-Fi network created by my Mac show up and I can try to connect to it, but the connection never succeeds.
I think some preference file somewhere has become corrupt because I can do this same thing using another machine without any trouble and I wanted to avoid wiping the problematic machine and starting from scratch if I can avoid it.
The only clue I have are messages in the console log:
1/7/16 3:56:11.733 PM bootpd: DHCP DISCOVER [bridge100]: 1,c8:6f:1d:15:8c:80 (ericss-iPhone)