Can you tunnel iPhone internet traffic through a local proxy on a Mac computer?
You may want a second network adapter, but first try adding a second WiFi connection in the network preference pane.

You could pick a static IP address that is valid, but outside the DHCP's range (or reserved and not assigned via DHCP). Then your iPhone could proxy against the static IP and set up IP forwarding from the command line.

It would be easier to have a second interface and let the Mac software handle the routing for you. Also, be aware that firewalls should be off or configured to allow inbound traffic from the iPhone.