I found a way to unlock tethering on my Nokia Lumia 520. This may work for other models and possibly for AT&T as well. Basically, I followed this guide:
I flashed the 059S340 RM-915 VAR APAC AU CV firmware, and after setup, just happened to try tethering and BAM, it's working perfectly. It was blocked before while using Cricket's original firmware. As far as I can tell there's no disadvantage to flashing this firmware, as you can change your region and language to US during setup, and Windows Phone 8.1 Preview is working great as well.
Happy tethering, I hope this helps someone else out there!
If anyone tries this on AT&T GoPhone or Postpaid, and it works, let us know!