There has been one change at GoDaddy in regards to registering a name server. There is no need to change A records, or place your name server in the nameserver record with the park servers. Instead, fill out the information in the Host Summary. This will ask you for both the FQDN and IP of the server. You would then shortly recieve an email from GoDaddy that a new name server has been registered. Once the new information has been allowed to propagate, remove the park servers from the Name Server record, and replace with your newly registered name servers. That's it. No other changes required.
Which brings me to a newly discovered problem. Using the wonderful tools at dnsstuff.com, I've discovered that our name servers (ns3 and ns4.sheltiehosting.net) are not responding to dns queries. Using DNS Report, DNS Timing, and DNS Lookup, all goes well until the final referral to our ns3 and ns4 servers. Then everything stops. No information is forthcoming from our servers.
Looking at our named.conf files, we appear to be set up as a caching only name server. Not authorative. Could this be why our servers are not responding?
Both servers can be pinged, and do respond to dig @ queries (glue records also appear in the Additional section).