MacBook Air or MacBook Pro

I agree with what Kadelic said.

Updating to 4.3.5 would be a bad idea in this case because it's a tethered jailbreak. Stay on whatever firmware version you are already on, use an untethered jailbreak, and then install a tethering app.

Clarification of terms:
Tethering app - A Cydia app that will allow you to use your phone's data connection on your MBP so you don't have to pay carrier tethering fees.
Tethered jailbreak - The phone must be booted from a computer.
Untethered jailbreak - The phone will boot like a stock iPhone.

I fixed your last two posts so your comments are outside of the quotes. When you quote someone, be sure to put your comment after the /quote tag.

What firmware version are you on right now? If your iPhone doesn't have a saved 4.3.3 SHSH, you won't be able to update to it. Assuming you haven't saved them, your options are to stay where you are or update to 4.3.5 - and I strongly recommend staying where you are if you want to jailbreak.

Just don't tether excessively. I recommend keeping usage under 2 GB/month to stay under the radar (even if you have an unlimited data plan).

You cannot update to 4.3.3 if you did not save your 4.3.3 SHSH with Tiny Umbrella. If that sentence sounded Greek to you, you don't have it and you won't be able to update to 4.3.3.

Since you lack a 4.3.3 SHSH, you can't have the best of both worlds. You'll have to make a decison based on which is more important to you.
1. If you want the latest iPhone firmware features, update to 4.3.5. The jailbreak is tethered, though, and that's not good.
2. If you want an easy untethered jailbreak and free tethering, stay on 4.0.1. You won't have the lastest firmware features, though.

I'd choose option #2.

Steps for option #2:
1. Jailbreak with limera1n (there are other jailbreak tools to choose from, but this is the one I recommend).
2. Click the limera1n icon and install Cydia
3. Install MyWi in Cydia

We've really gone off topic here. If you have any more jailbreaking questions, please start a thread in the jailbreak forum. I'll be happy to help in the new thread. Thanks.

Yes, you could have saved an SHSH for each firmware while it was the current version. The signing window for all ten firmware versions prior to 4.3.5 has closed, so it's too late to save 4.3.4 and lower.

We'll all have to wait for an untethered jailbreak for 5.0. I have all of my 4.x firmware SHSHs saved but I have no advantage over you with 5.0. SHSHs only help you restore to outdated firmware. 5.0 hasn't even been released yet.

Here's the jailbreak forum. It's a more suitable place for these questions. Please start a thread there. Use Mobile Safari, not the iCafe app.

Cool. Congrats on the new MBP! Here's a guide to help you get your iPhone synced with it without losing any data. Is this your first Mac?

How to turn off updates in iTunes:
iTunes > Preferences > General > Uncheck the box next to Check for new software updates automatically

The other option is to select No, and don't remind me when it asks if you want to update to the latest firmware.

No. I thought you didn't want it to check for updates? Just follow the guide I linked to in my previous post then follow the directions I posted for turning off automatic checking for updates. Either way, it won't automatically update the firmware. You have to initiate the update so turning off checking for updates really isn't necessary. I just check 'no and don't remind me' when a new firmware update is available. People tend to make this much more complicated than it really is.

If you don't jailbreak, there is no reason not to update as soon as it's available. Jailbreakers need to wait.