Deprecated “natd” and “ipfw” in El Capitan
I figured it and it seems sharing VPN connection in El Capitan is so much easier than it seems.

In Preferences -&gt; Network click on + and add a VPN (PPTP or L2TP)

In Preferences -&gt; Sharing 


Select (do not check yet), from the Share your connection from choose VPN connection previously created.
From To computers using select Wi-Fi if you connect your computer to internet with Ethernet cable or select Ethernet if you connect your computer to internet with Wi-Fi.
You can change Wi-Fi Options from bottom left button.
Now Check the Internet Sharing from the left menu, and click Start 
Every time you connect the VPN a network will be created and lets you connect to it with any device and use the VPN on you Mac.