Create Subdomain from third party hosting

[mmcbee]

I have a domain hosted with another company and I cannot move the domain name to my server for many reasons.
What I am trying to figure out is how to setup a subdomain on my server

I would have the third party host add an A record to point to my server

so ThirdPartyDomain.com will have an "A" record of subdomain.ThirdPartyDomain.com pointing to my servers IP

My server is DNS with 1and1

How do I set it up in Plesk, create a domain of ThirdPartyDomain.com then add subdomain.ThirdPartyDomain.com?

Will I need a vhost file?

Do I need to have 1and1 do anything?

Your help is appreciated,

Mike