It is a little mundane having to trawl through the configuration settings:
Settings > General > Network > Internet Tethering
I'd like an application or shortcut directly on my iPhone's Home screen. Does that exist, or can the shortcut be created?
Questions on Super User are expected to relate to computer software or computer hardware within the scope defined in the FAQ. Consider editing the question or leaving comments for improvement if you believe the question can be reworded to fit within the scope. Read more about closed questions here.
Nope. As of yet, the only way to turn tethering on is to go through the Settings app. I did a quick search for a SBSettings tethering toggle (just in case you had jailbroken your iPhone), but with no luck. There does seem to be a high demand on one though.
Yes, it is extremely mundane and chances are Apple will not put a shortcut in to make it a bit easier. But once you jailbreak your iPhone, the chances on getting exactly what you are after will rise significantly
No, that does not currently exist at this time. To my knowledge you cannot create any sort of a shortcut to a setting. This is of course with the standard OS install.