I just created this page (my first Wiki page!), as I think a popular device such as the iPhone warrants its own page, seeing as, say, the Huawei E220 has one. Please add your own findings to the section for using virtualization to enable USB tethering from within a Windows guest.
Just followed these instructions using blueman (albiet in Xfce4) and found them to work perfectly! Will add instruction to pair device, also change Gnome to Gnome/Xfce4.