Yes you can go for a paid app like PDANet to install on your android device and to link with a client on your mac.
Why not use a free opensource alternative? Azilink tethering for Android is your free solution. Installation is pretty straight forward as long as you don’t skip any steps. For me it didn’t work out of the box until I found a script that did the trick. I now have to connect, start the client on my android and execute the script and I’m connected.
This is another tutorial about tethering with android for different platforms and with different solutions.
Wouldn’t it be great if we just could all use our Android device as a MiFi device? Just adding a wifi hotspot… Maybe for Android 2.2 release ;-).