Well, Having had the need to use internet connection sharing with my Mac today I thought I’d note what I had seen as not ideal.
Firstly, if you are using a Sony laptop make sure the wireless card is switched on. This might sound obviouse, but the laptops have an actual switch at the front for wireless card power. If it’s not on the software doesn’t tell you it just fails to find any networks, but otherwise works as if everything is OK.
Second, on the Mac, make sure that the firewall advanced settings are all disabled otherwise your “client” won’t get given an IP address correctly.
Other than that, everything “just works” as you would expect from a Mac.