Once you have done this, you can use this connection during the creation of your new virtual machine to ensure internet connectivity on the server. Which, for SharePoint 2013, I'd say is nothing short of an installation requirement. You can also change the connection for existing machines by doing this:
Margriet Bruggeman edited Original. Comment: add
We have created some VMs on beefy laptops. One tip when using laptops; create 3 virtual NICs:
1) One for your wireless connection,
2) One for your wired connection, and
3) created using a Internal (static) IP. (also updating the host adapter with an IP in the same segment i.e.: 5.5.5.5 for host IP adapter, 5.5.5.6 for the VM)
The internal you will use to Remote Desktop to your VM, even when you don't have an internet connection. The other 2 will connect weather you are docked or on Wireless.