I had the same issue but there are some settings you have to change to enable it, I cannot remember what they are and I do not have my tablet with me to look them up.  I seem to remember they were quite intuitive though.

Hope you get it working.

I beleive it is more likely to be sim, and network provider if the settings on the Sony S are set up. If you are just putting in the sim from your mobile, it will not work unless your provider has set it up. I though would not recommend the 3g. Too much effort.

I simply contacted my network provider, told them that I want to set up tethering and wireless hotspot. It was not available on my tariff, so they  set me up on a new one. I lost a few minutes, but they gave me 750mb of tethering data, and cost me no more. some will just had this option on for about £5.00.

So now all I do, is turn on the hotspot from my phone. My SONY S connects as though it is a wi-fi connection. Saved money on the unit, no need to take out extra, sometimes lengthy contracts in addition to my phone, and cost notjhing, or very little extra to use. Plus now I get Deezer for free, bonus!