After first using wireless hotspot mode on the Android phone and connecting a laptop through that, draining battery rather quickly, even more pain followed after getting a PC. Switching constantly the SIM card between the phone and the USB adapter on the PC was no fun at all.
After doing a bit of searching on USB tethering I was truly stunned to find that USB tethering has been available ever since Android 2.2. Having used Quick Settings application to access WiFi hotspot settings (mobile AP), I rarely wandered into the original Android Settings menu.
It was a true revelation to see USB tethering option natively supported by the operating system. This is now the ultimate solution - the phone is being recharged often and both the phone and the desktop PC are connected to Internet. Lovely jovely.
Edit: Another option is to use PdaNet. There is a service on the mobile phone and a desktop client for the PC. This requires separate installation of Samsung USB driver, that includes ADB driver. For some reason, the one that came with Kies was not enough.