Should the situation arise where your domain's mail is hosted on a remote server, however, you would like the subdomains mail hosted locally, this walkthrough will help guide you on the appreciate steps.
First, you'll need to create a new MX record and corresponding A record in order to resolve locally to the server. In this example, we will use mx.domain.com. Create the MX record where the DNS is hosted, with an A record pointing to the server which will host the mail. The records will resemble:
mx 14400 IN CNAME domain.com
mx 14400 IN A 192.168.0.1
With the MX record created, you may now assign it to the subdomain. The record within the zone will resemble:
sub.domain.com. 14400 IN MX 0 mx.domain.com.
Finally, you'll need to select "Local Mail Exchanger" under the "Email Routing" section so that the server may appropriately route the mail locally.