You don't have to name the box server.mymachines.dyndns.net, but it should be one of the names the box uses in either /etc/hosts or /etc/mail/local-host-names if you want sendmail to deliver mail locally for server.mymachines.dyndns.net. Usually sendmail refers to those files to determine whether to deliver locally or to relay.
To enable sendmail's use of /etc/mail/local-host-names you need to generate sendmail.cf with the following line in sendmail.mc:
Code:
FEATURE(`use_cw_file')dnl