MacBook – Internet sharing on MacBook Air

I don't think you can do this. Thunderbolt doesn't really have a "native" protocol like Firewire or Ethernet, it's just fancy PCIe transport. It might be possible in the future, but it would require Apple to add the functionality.

However it's worth noting that it's unlikely Thunderbolt would speed up your connection at all. Unless you have a seriously heavy duty internet connection (think corporate/university fiber), the limiting factor in your internet speeds won't be the connection between local machines, it's the cable/dsl your ISP provides. It's possible wifi could be limiting if you have a bad connection with a lot of interference, but most wifi should be able to keep up with your internet connection.

Maybe you need to update Snow Leopard via combo update. It happens sometimes that an earlier version has problems with internet sharing (sometimes even an update could break it).

For example I could not establish successful Internet sharing on OS X Tiger 10.4.11, but with 10.5.8 I had the best experience.

For Snow Leopard, maybe you could try 10.6.8? 10.7.5 Internet sharing is working, although sometimes, it's not fully stable. It can be that you need to click on connected iPad/iPhone and same time on "Connect to" on established Bluetooth connection on the Mac to get it working.