Some USB sticks use RNDIS now-a-days which basically is a small router kinda device. It provides DHCP service and if you connect it to router/pc it directly provides internet. You dont need to connect it. It will be identified as an Ethernet interface in the router/pc, just like eth0 or eth1 in Openwrt.
Other devices are basically old modems, they get identified through drivers and once identified they can be connected through UMTS/GPRS/EDGE protocol in the router.
Your settings will differ according to the type of device you have. If you have the RNDIS one, you need to install kmod-usb-net-rndis and if you have modem one you need kmod-usb-serial kmod-usb-serial-option kmod-usb-serial-wwan.
[Edit] If you have enough space on your router, try to install all of them. When your device gets identified, create a new interface and assign it UMTS/GPRS/EDGE protocol and see if your modem gets identified in the config. If not then it's probably RNDIS based.