I am trying to make my webserver a well respected email sender and it appears to me that using DKIM is something I need to do.

I have no experience with this and would like to know if anyone thinks there are issues that I should be aware of before going down this path.

Also, I have not been able to find any good, STEP BY STEP, documentation on how to set up DKIM with Sendmail. Can someone point me in the right direction?

I am also not sure if you need a certain network configuration for DKIM to work...this is what I am working with:

My webserver (centos 5.3, sendmail 8.13.8) sends outgoing mail and has a valid reverse DNS that matches a forward DNS.
The MX records for my webserver's domain point to a third party email provider who handles the incoming mail for that domain.
I added an spf record that signifies it that my webserver is authorized to send mail for mydomain.

Thank you for your help!