Note that PDAnet is actually trialware, and the full SOCKS proxy functionality is only free for 14 days. After that, you just get port 80 forwarded, so nothing beyond HTTP will work on tethered devices.
Possibly. Until now AT&T have ignored (or been unable to detect) people who had artificially enabled tethering. Now that they have an official tethering plan,if they do have a way to detect unofficial tetherers then they may automatically add tethering to your account. This is similar to what happens if they detect you using a smartphone without a data plan.
MyWi is the best tethering app. It turns your phone into a wifi access point. The other tethering apps require you to setup adhoc mode and are a major pain in the ass. MyWi makes your phone act like a 3g wireless hotspot and is pretty awesome. Install it through RockApp.
Install it, then create an ad hoc network on your computer.
When you launch PDAnet, it's going to scan for available ad hocs; select the one you just created.
At least on my apple machine, as soon as I connect, my box recognizes that the iPhone can be used as a gateway to the internet.
Very slick :)