None of my attempts have worked so I'm no help to you, but yes it should work, and some people have said that they've had it working.
Edit:
The checklist:
Are you using a router with DHCP? To share XPs net connection the PCs IP has to be 192.168.0.1 (or is it 192.168.1.1?) anyway that normally conficts with routers which like to have the same IP.
Did you bridge the connections?
Are you able to a) connect ad-hoc with no net or b) net with no wireless connection?
What is the rest of your network like?