Don't know about vanity setups. In my Company's DNS the MX record just points to the FQDN for our mail server:
First an address record in the zone file for the domain (call it domain.com) with only the server name:
servername IN A xxx.xxx.xxx.xxx
Then an MX record pointing to the FQDN of the above:
IN MX 10 servername.domain.com
Any nslookup (excuse me for the purists - I meant "dig"

) where you request the MX record should then return servername.domain.com.