Here is how I added subdomains (http://opieblog.opieweb.com for my blog, and static.opieweb.com for images and style sheets) to my account. I have a reseller hosting account already which came in handy for this. Without it, I wouldn't have had access to the tools necessary.
- create an account on my host for my domain (this creates the necessary Host records within their nameservers)
- add a series of subdomains via the host's online tools (in this case I am using cPanel and there is a quick tool for adding subdomains). This automatically adds the correct DNS entries to their nameserves for the subdomains.
- Edit the DNS A record for my site's root and point it to Fog Creek's IP Address
- Change the name servers from GoDaddy (where I registered) to those of my hosting account.
If I want to add additional subdomains via cPanel after the name servers are moved over, I need to edit the A record and point it back to the local host, create the subdomain, then update the DNS to point the A record back to Fog Creek.
I really believe that Fog Creek should add on a tiny amount of hosting with your SE site for this kind of thing.