Finally got it working. On my tablet I had to go through Control Panel > Devices and Printers, select my phone and then Connect Using > Access Point. Surely this can't be how they expect you to do this. I probably won't need to use this often, but to make it a little easier in the future I created a shortcut to my phone device on the desktop and I pinned the Devices and Printers view to my Start screen.
Now that I was tethered to AT&T 4G using Bluetooth I ran speedtest.net on desktop IE and got 1.0Mbps down and 0.4Mbps up; speedtest on chrome browser showed 1.4 Mbps down and 0.2 Mbps up. When tethered over WiFi, the same tests showed 4.7/1.1 and 3.7/1.1 I'll probably test this again when I'm back in range of the LTE network and see how things compare. But this should be fine for basic browsing, mail, etc. I presume I'd save some battery power on both devices doing this rather than using WiFi.
FYI - as I previously noted, I'd already "paired" these devices. They weren't maintaining a connection, but they were aware of each other's profiles as it were; and Internet Sharing over BT was already turned on on my 920.