Since you have the domain pointed to our name severs, we are currently the DNS manager. DNS records are teh A records, MX records, etc that you spoke of. The easiest way would be to alter the mail record (which is an A record) and point it to the IP address of your GoDaddy server. Then you can set your MX record to point to mail.example.com Also, be sure to set your MX records to External so that they will go to your GoDaddy account.
Be sure to check our article on modifying your MX records. We also have an article that covers your exact situation of having the site here and email elsewhere.
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