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Lots of people complian here and on other forums of the Lumia 920 Internet Sharing issues with Apple Macbooks, iPads etc where the Apple device disconnects after a minute or two... For me aftter about 5 tries it would stay connected until I tried again the next day where again it would disconnect 4 or 5 times before it would stay connected.
I changed my Broadcast Name (in Internet Sharing on the Lumia 920) to a name without spaces and (after an initial disconnect) it is now working great - no more disconnecting, I can use my Macbook Pro wirelessly tethered to Lumia 920 for hours at a time!
If you have been having this issue let me know if this solves it for you too. The default "Broadcast Name" on the Lumia has spaces, remove the spaces and see what happens sharing with your Apple devices.