I sometimes connect using my macbook air and then share the connection to iphone and ipad. If I use a wired connection, I share via wifi. If I use a wifi connection, I share via bluetooth. Some hotels don't charge per device and then I just connect them all to the hotel wifi. If the wifi connection is poor in the room, then a wired connection to the mac shared via wifi usually does better.

You can do this from the system preference--click on sharing and then check the box for internet sharing....from there you can check the port you are sharing from and which port you are sharing to.