We've previously reported on how the Lumia 710 and 800 do not support Internet Sharing, but the 610 and 900 do. It's a slight pain that has separated Lumia Windows Phone owners. Thankfully Nokia has confirmed that tethering will be available on both the Lumia 710 and 800 in a future firmware update - something we're currently on the lookout for.
The folks from Plaffo are reporting that the official Nokia Lumia Update section of the website is reporting that Lumia 800 firmware on Vodafone in Italy is currently in development. The site notes that they've already received 12070 so this alteration on the update page has to be a future version. As well as Italy, both Vodafone Spain (thanks SmartphoneApps.es) and UK are also "software under creation".
Should the manufacturer be working on the next version, this would hopefully include the missing tethering functionality. Are you with Vodafone and already on 12070? You could well be the first in line for Internet Sharing.