I have 2 eyeFi cards and this is definitely the way to go.
It has the high benefit to work with most of camera with SD cards; some recent models even integrate the possibility to disable/enable the wifi connection of the card. You can check which cameras are supported here
What you need is:
- EyeFi card X2 (Connect X2 or Pro X2 but not a "mobi"!!)=> e.g. in Amazon
- a WiFi network (on which the computer and card will be both connected)
- Their software that you can download from their site
- Configure the card with this software so it connects on the WiFi network and uploads directly to the folder you have set up (pretty easy I have to admit: the interface is helping a lot)
Then you just take a picture/video, wait a bit and it's in your computer.
Not as fancy as tethering but at least it is working with small compact cameras.
Note: you can configure your EyeFi card to work on several WiFi networks.