I can't find any way to do this in my Ubuntu 11.10. I can do this using data cable which Automatically connects me to Internet without headache.
My mobile model is Micromax Q-5fb.
The procedure to do this thing is fairly same for Ubuntu 11.10 and Ubuntu 12.04.
Keep going forward, and you should have your mobile Bluetooth connection setup and paired with Ubuntu. All you need to do next is to connect to that mobile network by clicking on network connections in the panel.
Also, disconnect from any other network (if you are connected), and make sure you don't put your mobile device half a kilometer away from your computer (for it to have good Bluetooth connection strength), to make things go smooth.