ethernetinternetthunderboltwifi
Macbook –> Thunderbolt Ethernet adapter –> Ethernet Cable –> Device under test with IP address
The device under test is not connected to the internet. While I am testing the device I still need an internet connection, but the non internet device connected with the Thunderbolt Ethernet adapter takes over and I cannot connect to the internet through wifi.
It isn't directly possible without a USB card. The Macbook (Pro) can only do one thing with it's built-in wireless card. It can either be on the receiving end of the wifi connection or the sending.
You do have several good options here, though. If you were satisfied with dealing with cords some, you could consider sharing your internet connection over "iPhone USB". I don't know if that would work for two devices simultaneously, however.
You can check out the sharing options under System Preferences -> Sharing -> Internet Sharing.
The better option, and the one you mentioned is to get a USB wireless adapter (perhaps something similar to this, but I'm sure there are other better ones as that is just b/g, and you would probably like n), and then share that internet connection by creating an ad-hoc network.
You will need to connect your USB adapter, and then open System Preferences > Sharing > Internet Sharing. (From this Apple Forum post) Select USB from the drop down menu next to "Share your connection from:". Then select the "Wifi" from the checkboxes below. Check the Internet Sharing option to the left, then join it with your iPhone and iPad.
Here is an Apple KB support article that you may find helpful in setting up an ad-hoc network. While you are using USB the steps in this OSX Daily article should be very similar to your situation.
Have you looked carefully at Firewall permissions on both computers? You may be blocking outbound connections from the MacBook Air on the iMac.
If you are protected behind a router, I'd try these tests again with all Firewall and networking limitations turned off. I'd also try turning off Little Snitch if I had it installed, while running these tests.
Apart from the lightning fast file transfers (SSD speeds I imagine), between MacBook Air and iMac, you could try adding a local 1000 BaseT switch and plug both machines into that switch via ethernet. For the MacBook Air, you'd either need a Thunderbolt to Ethernet adapter which you have for something like 1000 BaseT speeds or if you are willing to live with 100 BaseT speeds the simple Apple USB Ethernet Adapter.
You could also try plugging the iMac directly into ethernet so you are not crossing ethernet to Thunderbolt with Thunderbolt to Thunderbolt as Apple Network Sharing works less reliably between two identical protocols (Thunderbolt-Thunderbolt) than two different ones (wifi-ethernet, Thunderbolt-ethernet).
Please let me know how you get on with your network sharing issue.
Best Answer
Choose Apple menu > System Preferences, then click Network. In the list on the left, you see the connections/services.
Click the Action pop-up menu at the bottom, then choose Set Service Order.
Drag a service, in your case WiFi, to the top of the list.
Click OK, then click Apply to make the new settings active.