If you still run into a redirect loop, please note that when a domain is registered or altered, there is a process called propagation, where information about the domain name is passed to internet service providers all over the world. This process can take up to 72 hours (though usually much less). During that time, you may also receive a warning message in your browser about "redirect errors". Unfortunately, we have no control over this as it all depends on how often your internet service provider updates their records. Please rest assured that everything is proceeding normally with your domain.

The domain diagnostic tool told me this:

Oops, No Primary Site Set
There is no primary domain set for myblog.wordpress.com. This means that although myblog.org will forward to the site, myblog.org will appear in the browser address bar. To learn more about setting a primary domain, please see our documentation.

This is not what's happening. If I DO change the primary site to myblog.org, I get a redirect loop. The loop happens immediately after changing, and goes away immediately after changing back. Do I have to wait a while for it to work correctly? Is something broken, or did I mess up the configuration?

Thanks!