How does domain mapping really work?

If my client or myself have a domain that we purchase how do we use the domain mapping to connect to our domain that we purchase?

would we just go to the domain account go to manage > than change the nameservers to match the nameservers of the multisite? or

do we need to just change the a record of the domain account to the multisite ip address?

Im looking at videos and reading your domain-mapping plugin description and it doesnt say anything about this. At the very end of the instructions its says to go to the cpanel ( im guessing the multisite cpanel) and add a parked domain or edit the dns zone record . If i do this ,would it mean that i can just create any domains I want without purchasing them??