When you USB tether your phone to your computer with PdaNet+, all you have to do is select the "WiFi Share" option and set it up like any other hotspot (network name, password, etc). Couldn't be easier. I don't know how well this'll work for playing PS4 (or whatever) games, but I can use this setup to watch Netflix or youtube on my well enough.
There are ways to use the native hotspot on an Android phone, but all the "hacks" are done on the computer side. VPNs, browser masking, etc.
Relax, go nutz!