I was having the hardiest time finding out how to do this and frankly it was pissing me off. Well I found a nice video on crackberry that i followed to the t, and i had absolutely no problems connecting after watching this video and doing everything that was being done on the video. Super great writeup up. Also this was for tethering a 8830 and i followed the directions and had no problems tethering my 8330 on the first try.
PS mods please consider this for a sticky.
Tethering an 8800 series blackberry to a mac on Vimeo