First you must have tethering enabled in the iPhone, either via your carrier, or via a 3rd party app such as MyWi.
Simply add the corresponding PPA repository, either via your prefered GUI or with the command:
sudo apt-add-repository ppa:pmcenery/ppa
The update your sources with your GUI or with:
sudo apt-get update
And the install ipheth-utils via Syaptic, or with the command:
sudo apt-get install ipheth-utils
Ready, next time you connect your iPhone, Ubuntu Lucid will automatically connect.