As it turns out, this is really easy to do using peer-to-peer wireless networking, enabling applications like AirSharing or the Apple Remote to connect to your machine regardless of if there is an available wireless network.
Note: This can be done on Windows as well, however, I will only be covering the process on a Mac.
- First you need to create a new network on your Mac by selecting your AirPort menu item and choosing "Create Network...".
- Choose a name for your network, and optionally require a password (I would suggest adding a password to restrict access to your machine).
- On your iPhone, tap Setttings then Wi-Fi.
- Your phone should find the network you just created, tap it and enter your password if you chose to set one up.
- Now open AirSharing.
- Back on your Mac, from the Finder menu, select "Connect to Server..." (this can also be opened by pressing Command+K on your keyboard).
- Enter the address specified by AirSharing for connecting and click "Connect".
- A finder window will open with the AirSharing share and a mounted disk will appear on your desktop.