Macbook Pro as a wireless bridge? (Private hotspot from external wifi connection) While travelling, it would be convenient to set up a wifi hotspot from my Macbook, which would share the wifi internet with my phone and tablet (wifi &lt;-> Macbook &lt;-> wifi). This would make it easy to test apps I'm developing on the Macbook and also make it easier to connect devices to the internet, instead of making each of them jump through the considerable hoops of public wifi providers.

There's no ethernet involved, just a public/hotel wifi connection. I realise this isn't possible with just the built-in wifi; it needs some kind of external wifi device. My question is firstly to confirm this is possible, and secondly to ask exactly what setup (hardware and config) is required.
It isn't directly possible without a USB card. The Macbook (Pro) can only do one thing with it's built-in wireless card. It can either be on the receiving end of the wifi connection or the sending.

You do have several good options here, though. If you were satisfied with dealing with cords some, you could consider sharing your internet connection over "iPhone USB". I don't know if that would work for two devices simultaneously, however.

You can check out the sharing options under System Preferences -> Sharing -> Internet Sharing. 

The better option, and the one you mentioned is to get a USB wireless adapter (perhaps something similar to this, but I'm sure there are other better ones as that is just b/g, and you would probably like n), and then share that internet connection by creating an ad-hoc network.

You will need to connect your USB adapter, and then open System Preferences > Sharing > Internet Sharing. (From this Apple Forum post) Select USB from the drop down menu next to "Share your connection from:". Then select the "Wifi" from the checkboxes below. Check the Internet Sharing option to the left, then join it with your iPhone and iPad.

Here is an Apple KB support article that you may find helpful in setting up an ad-hoc network. While you are using USB the steps in this OSX Daily article should be very similar to your situation.