automatic subdomain creation on new site creation

I have a wp mu installation on wpengine and am trying to get it setup so that whenever we add a new site the subdomain is automatically created. Is this possible. I asked the wpengine people and they're mentioning something about pointing dns first which is already done for the primary domain. I can't imagine why I would have to do this for each new subdomain. Doesn't seem like it should be that way. Any advice?