First, for anyone following in my footsteps. To map a subdomain to your wordpress blog, follow Steps 1, 2, 3, and 4 that I have listed above.

Now, for the specifics of my problem. Our DNS is administered externally of our network. So I went out and added a CNAME to redirect to my wp blog. However, the CNAME also needed to be added to the DNSmanagement in our network also.

Hope this helps someone in the future.

1. I created a blog, like: myShineyNewBlog.wordpress.com

2. Created a Cname aliasing blog.mydomain.org -> myShineyNewBlog.wordpress.com

3. Spent the credits to Add a Domain: blog.mydomain.org

The alias would work to GET to the blog, but the address shown would be myShineyNewBlog.wordpress.com. Not exactly what I was looking for.

4. So I clicked the "Put blog here" where the page said:
blog.mydomain.org Redirecting to myShineyNewBlog.wordpress.com (Put blog here)

Everything seemed to work okay THEN (which was late last night). But this morning NOTHING worked. blog.mydomain.org? Nope. myShineyNewBlog.wordpress.com? Nope.
All of them returned a Page Could Not Be Found.

Help! (please)

I have since, reveresed the "Put blog here", but only myShineyNewBlog.wordpress.com is working. The alias is returning the Page Not Found.

If it will help to know the actual alias and wordpress blog names, let me know.

Thanks in advance.