Internet, screen and file sharing over USB between two Macs I can physically connect two Macs with a simple USB cable, easily.
How can I make actual use of this link?

USB is supposed to be used for master/slave or host/client scenarios. It is, however, the only I/O port that both my Macs have. I want to access the internet from the mobile, new MacBook via the stationary, old iMac and sometimes I may want to access files on the iMac or use its large screen in addition to the small laptop screen. 

I know I can do these things using (some perhaps non-free third-party software, at least for screen sharing, and) AirPort, either by setting up a dedicated router or by running the iMac as an adhoc wifi network “server”. The latter only offers insecure WEP encryption, however, and the former is not possible in my case. Cable connections are obviously more secure and they tend to be both faster and more stable.

There are protocols for Ethernet over USB (CDC-ECM etc.) and I could probably achieve all of my goals via LAN, but I’m not sure how (well) this is supported in OS X (10.6 on the iMac, 10.10 on the MB), especially for connecting two computers instead of some gadget (or industrial machinery) to a Mac.
Best solution would be to either upgrade the iMac to 10.8+ and get WPA2 wifi sharing, or just get any cheap router.
You can't use any sort of regular USB cable for a host-to-host setup, solutions do exist but are definitely a lot more expensive, and much more fiddly software-wise, than either a cheap router or simply a thunderbolt to firewire adapter for your Macbook, which might be your best bet since Macs have native support for sharing internet over firewire.