YTou may not actually want to change the DNS entry of the mail.mydomain.co.uk .
Answer these first...
Is this a NAT Firewall that is passing traffic to a NAT IP?
Where is mail for the "mydomain.co.uk" domain suppose to go? Is it suppose to go to the mail server which is behind the firewall?
If this box is on the DMZ and it is a NAT'd network... and you're trying to send mail to "mail.mydomain..." then it is trying to go out, and come back in which isn't going to work. If it is a NAT'd network, I would just try adding "w.x.y.z mail.mydomain.co.uk" to your '/etc/hosts' file where 'w.x.y.z' is your NAT'd IP Address. You will also need to verify your '/etc/nsswitch.conf' file to ensure that the line exists "hosts: files dns" this will ensure that files [/etc/hosts] are queried before DNS and therefore would send the message to the NAT'd IP host and not out and then in.
Does that make sense?