To make this feature work, both of the iDevices need to be logged into the same iCloud account and you must be able to create hotspots on the cellular device (some telcos do not allow this). Once you're logged in on both, you're good to go.
In my case I have an iPad mini that only has WiFi and iPhone 5. I've been using this feature quite often recently at airports and at the office when access to certain networks is blocked on the regular WiFi.
To get this to work, you simply go to the WiFi preferences on the iDevice you want to have internet access with and connect to your other iDevice's hotspot; this should come up automatically. There is nothing to configure and the hotspot turns on and off automatically as needed.
When the hotspot is active, the iDevice hosting the hotspot shows this in the status bar at the top of the screen.
There is more information on Apple's web site here: Connect your iPhone, iPad, and iPod touch using Continuity.