WEP Security for Internet Sharing?
WEP was completely removed in Yosemite:

http://tidbits.com/article/15158

WEP is broken enough that you might just consider using an open Wifi connection (Security: None) but if you want to have a basic level of protection to stop someone from just walking into the equivalent of an open door the best solution would be to get a cheap secondary wifi router and set it up with it's own SSID with WEP, making sure to turn off DHCP on the router and connect it via a LAN rather than the WAN port (Apple Airports can just be put into Bridge Mode). If you're worried about security you could unplug the secondary router when you're not using it or disable it's Wifi.