Subdomain and efficiency question

Hi;
I want to set up a subdomain, for example, test.mysite.com using a A record, so the subdomain actually is hosted on a different server. The reason being to offset the load on the main server and security concerns. However, even with a A record, the main server has to do a redirect to the other server each time test.mysite.com is called right? Is there a way to prevent this from happening? My main server already gets a lot of connections at all times, and I'm afraid anymore may lead to load problems...

Thanks,

 

 

 

 

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