Solution:
Go to Settings > Portable Wi-Fi hotspot > Set up portable Wi-Fi hotspot
Once inside:
Configure the name of the WiFi network to create (SSID)
Configure the security, that is, the password that we will use to be able to connect to this new Wi-Fi network from another device.
Return to Portable Wi-Fi Hotspot and activate "Portable Wi-Fi Hotspot"
Once it's done, it will already be sharing our data Internet connection by creating a Wi-Fi connection. To connect from another device we will only have to explore the nearby networks and connect to it.