I would like to ask whether you are using 2G or 3G sim and which service provider?
I am using Airtel GPRS 2G sim right now.
I have also bought 820 recently and I am unable to use internet sharing feature at all. Few of collegues are also facing the same problem.
When i put my sim in lumia 800, it works fine but not in 820.
I tried using a vodafone 2G sim in my 820 device.
Internet sharing feature worked.
with Airtel 2G its still not working. Something seriously wrong between 820 and airtel it seems
If it works with Vodfone but not Airtel then perhaps it may be something to do with Airtel. In Ireland Vodafone allows tethering but not O2. PerhapsAirtel does not allow tethering on your tariff. Maybe worth checking with them.