Baked into the OS, I believe, for both Android and iOS. I don't know if any networks are still playing silly games disabling it in their custom OS builds like the bad old days, but for "stock" OSes it should Just Work.
However, check that tethering is allowed on your data plan - on my previous contract it wasn't, and if Three detected it I'd have to sit on the naughty step with no mobile data for a few hours.