For tethering: How To: iPhone tethering with STC Jawalnet.
As we have established before, the iPhone 3G/iPhone 3GS sold in Saudi Arabia by Mobily is unlocked no matter what Mobily employees claim. So you can use an STC SIM card if you really want to.
As for the 3G data settings on the iPhone 3G, here’s what you need to do: Go to Settings, General, Network and finally Cellular Data Network. In the APN (access point name) field type in jawalnet.com.sa. Then go back to Network and make sure to Enable 3G.
Update: make sure to restart the iPhone after you have changed the settings.
Arabic version of this post on SaudiMac.net.