The example "archimedes.palegray.net" would be the full DNS name of your actual server that processes, and can be something like mail.example.com. The domain name itself ("mydomain.com" in the example) comes into play further down in the tutorial, under the "Setting up Domains and Users" heading.
The MX would be set to your own server, and is briefly mentioned under that same heading. But to clarify just a little bit, your MX settings (if using the example from the tutorial) would be something like this:
Code:
MX 1 archimedes.palegray.net.
You simply point it to the same FQDN you specified as your mail server's hostname.