Share Ethernet internet connection through Thunderbolt cable

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.

The order of your internet connections is reversed.

For internet connection sharing to work it should be:

"Share your connection from Ethernet"

"To computers using Wi-Fi".

Here are the instructions: http://mac.appstorm.net/how-to/internet-howto/sharing-your-internet-connection-via-wi-fi/