Log in to your EMS portal. In the menu to the left click Settings and then Domains.
Click + Add domain at the top of the screen.

Enter the domain you want to setup with EMS and click Next.

You now need to verify that you are the owner of the domain by adding a TXT record.
Copy the TXT Value that Microsoft has provided.

Select I'll manage my own DNS records and click Next.

Setup DNS record in your domain cpanel.

Return to the EMS portal and click Verify, at the bottom of the page. If everything is setup correctly you are forwarded to the confirmation page.

You are all setup!