- Enable developer mode on your device
- Connect your device to your computer via USB
- Select "SDK mode" when asked for the USB connection type
- Use the SDK connection utility, and select USB connection
- Note the password displayed in the "Connectivity Details" screen
- On your computer, use "ssh -D 9898 firstname.lastname@example.org"
- Accept the host key question, and enter the password from step 5
- You should be greeted by a Busybox prompt "/home/developer $" - leave that open in the terminal window in the background
- At this point, a SOCKS proxy server is running on port 9898, and you can use it in any applications supporting a SOCKS proxy (there are even utilities like socksify(1) (Debian package: dante-client) that make generic network applications work through a SOCKS proxy)
- To use it in Firefox, go to Edit - Preferences - Advanced - Network - Settings..., then choose "Manual proxy configuration" and set "SOCKS Host:" to localhost and port to 9898 (be sure to disable the proxy again when you want to browse via a normal Wi-Fi/Ethernet connection)
After that, a "ssh n9proxy" (possibly followed by the developer password) is all you need to set up the proxy. This method is arguably easier (and definitely safer) than using the Wi-Fi hotspot, and instead of using up battery on your N9, it gets charged via the USB port while you are using it.
By the way: You will have to manually connect your N9 to your mobile internet connection, this won't happen automatically.