I am wondering specifically about MX entries. I use whois.com for my registrar and there is a DNS manager there I can add entries to. I have a VPS and can modify a DNS zone there as well. Which should I do? Both?
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No, you should change your entries only on your master server (not secondary).
The DNS is based on delegation: you do what you want in your zone, without a need to explicitely tell to anyone.

bortzmeyer
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Marek Wajdzik
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