Internet sharing allows you to share your internet connection from your Wi-Fi network through your Mac, to any device connected via ethernet. Setting this up is fairly straight forward.
To do this, open System Preferences and click on Sharing.
Click on Internet Sharing on the left.
Select where you would like to share your network from in the top right, in our case it will be from Wi-Fi.
Select how you would like to share your connection to other computers, in our case it will be over ethernet.
Click the checkbox next to Internet Sharing on the left side to turn it on.
Now devices that you connect to your Mac via ethernet will be connected to the internet as long as your Mac is connected to a Wi-Fi network with internet access.