Use your mobile phone's data on your pc without tethering. Doesn't need jailbreak or root.

mobile_hotspot.py

#!/usr/bin/env python
import socket
import select
import threading

HOST = ''
PORT = 50007
# use https or socks5 and use the same protocol on pc
PROXYHOST = 'your proxy server'
PROXYPORT = 8080


def main():
    s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
    s.bind((HOST, PORT))
    s.listen(0)
    while True:
        conn, addr = s.accept()
        print 'Connected by', addr, '#active', threading.active_count()
        p = threading.Thread(target=tunnel, args=(conn,))
        p.start()

    s.close()


def tunnel(conn):
    provy = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
    provy.connect((PROXYHOST, PROXYPORT))

    sent = threading.Thread(target=forwarder, args=(conn, provy))
    recv = threading.Thread(target=forwarder, args=(provy, conn))
    sent.start()
    recv.start()

    recv.join()
    sent.join(10)
    
    provy.close()
    conn.close()


def forwarder(r_s, w_s):
    try:
        while True:
            select.select([r_s], [], [])
            data = r_s.recv(1024)
            if not data: break
            select.select([], [w_s], [])
            w_s.sendall(data)
    except Exception, e:
        pass
    r_s.close()
    w_s.close()


if __name__ == '__main__':
    main()

You need a public accessible proxy server.

1. Create an ad hoc hotspot on your laptop
2. Connect your phone to the laptop
3. Manually edit the ip address, e.g. 10.0.0.1 on laptop and 10.0.0.2 on phone. use the same subnet of course
4. Edit PROXYHOST and PROXYPORT to suit your proxy server.
5. Run this script on the phone using any python app that support network connection
6. Set the proxy setting on your pc using the phone's IP and port. default is 50007
7. Profit
   make sure the phone's screen is stay active while using this. You can set the screen sleep to off.