If your battery (on both devices) can handle it, bluetooth 'tethering' (the term getting increasingly inaccurate) is a good compromise. On the iPhone, you can

If your battery (on both devices) can handle it, bluetooth 'tethering' (the term getting increasingly inaccurate) is a good compromise. On the iPhone, you can leave it turned on and it only activates when requested. Turning it on is as simple as selecting 'connect' from the bluetooth icon in the menu bar. You probably wouldn't want on-board 3G to connect automatically anyway (for cost reasons if nothing else), so it's not much more work. But the down side is that leaving bluetooth on will affect battery life on the phone and laptop. Everything's a compromise.