How can I create an ad-hoc connection from my Macbook Pro wifi connection?
You can only share Internet from an Ethernet, Bluetooh, or FireWire connection over Wi-Fi.

That's because you can only use your Wi-Fi connection for one thing at a time. If you're connecting to the Internet over Wi-Fi you won't be able to share that connection over Wi-Fi.

If you've got Share your connection from: set to Wi-Fi, it's normal that To computers using: doesn't have a Wi-Fi option: