If you want to tether without paying for a tethering plan, you should use TetherMe. MyWi is easily detectable by cellular providers because it enables tethering through a 3rd party application. If your carrier catches you using it they will forcibly remove you from your unlimited data plan(if you have one) and they will automatically start charging you for a tethering plan.
As iFrog said, if you connect a device to your phone, the data is transferred solely through your cellular network.