You can follow this tutorial.

If your Mac is Airport enabled (nowadays all laptop Macs have that), you can/should connect your iPhone directly to a network created on your Mac.

1. On your Mac: Click on Airport icon in the menu bar (this is the one that looks like a radar scan).
   • Check that Airport is turned on, and select “Create Network”.
   • Give a name to this network. Optionally, if you are concerned with security, protect your network with a password (could be handy if you are performing on stage!)
2. On your iPhone: Go in the Settings application, and start by turning on the Airplane mode. That will shut down the GSM, Bluetooth and WiFi antennas.
   • Go in the WiFi section, and turn it back on.
   • Wait for the networks list to populate, and select the network you've previously created on your Mac.
   • Before leaving this application, click on the blue disclosure button on the right of the network name, and patiently wait that numbers like 169.254.xxx.yyy appear in the “IP Address” field (wait around 20 seconds). This will ensure that your phone is ready to send messages on this local network.
3. You can now leave the Settings app, and run TouchOSC, OSCemote or any iPhone music controller app you like.