Subdomains with different webhosts

Is it hard to have a site on shared webhosting and have a subdomain hosted elsewhere.
For example xyz.com is hosted with a shared hosting account
and forums.xyz.com is hosted either with another host as a shared account or a dedicated server.

How are such things set up. I know that subdomains elsewhere can be set up for branded e-mail and such but how does someone set it up for hosting purposes?

 

 

 

 

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