Problem With Domain Mapping Plugin

I've been trying to get domain mapping to work, after several hours without success, I'm now asking for help. I run a couple of WP sites on a VPS, and I'm trying to convert everything to run on a single instance of WPMU.

- VPS hosted at LiquidWeb, all domains are on same IP and use name servers
- cPanel / WHM for most administration (not so good at sysadmin stuff, but can certainly follow instructions)

1. Installed WPMU 2.8.6 in root of domain wpmudomain.com (sub-directly installation)
2. Installed Domain Mapping plugin in "mu-plugins" folder as directed, and added server IP
3. Created blog: http://wpmudomain.com/example/ and added custom domain blog.example.com (example.com is already hosted on same server, with static html content).

Now when I visit http://wpmudomain.com/example/, it gets forwarded to http://blog.example.com/, so I know that side works. But so far I've not been able to get it to display the blog:

- Setting blog.example.com as a sub-domain [via cPanel] only ends up displaying the content of http://example.com/blog/ (created automatically by cPanel when you setup a sub-domain)

- Setting only CNAME for blog.example.com (pointed at wpmudomain.com) ends up displaying cPanel's default "Great Success... Apache is working..." page

- Setting A record only for blog.example.com (pointed at common server IP address) also display's same cPanel default page as above

- I cannot park blog.example.com on top of wpmudomain.com, because cPanel won't accept anything other than a top-level domain.

As I've indicated above, all domains are on same server with same IP address. I'd be greatful if anyone can give some directions. In particular I'd like to know which of the four routes above (or any other!) is the proper way to go about this, so I can focus my actions there.

Thanks.