Note that not all web front ends for DNS configurations will allow wildcards. I've just learned that mine doesn't, for example.
I actually am looking at doing some subdomain stuff myself, but w/o direct full control of DNS I either setup DNS server on my server and configure it myself or I just deal with creating unique subdomains manually. I don't expect to make that many subdoms so I'm not bothering with setting up DNS.

I have enough headaches in my life.