Subdomain DNS verification?

Hello Gang, I'm looking for some help. Let me be clear, I know very little about all this stuff. I'm building a new Xenforo forum that's on a shared server, running cPanel 76.0.12. I'm trying to set up my outgoing mail using mailgun instead of the forum server. I had to create a subdomain and enter that info into mailgun but it looks like I need to do some kind of DNS verification on the domain/subdaoin? This is where I'm lost. Mailgun has given me some info/values (MX records?)I need to enter somewhere on the cPanel to achieve this. Can someone please direct me in the right direction? Many Thanks!