I've just tested it and confirmed 100% it works. Here's the setup:
123-Reg (mydomain.co.uk) nameservers point to my usual CPanel nameservers
In my hosting management (I have a reseller account, so outside of CPanel) I added the following DNS records
exch.mydomain.co.uk NS ns1.afraid.org
exch.mydomain.co.uk NS ns2.afraid.org
Then, in afraid.org I added a domain called exch.mydomain.co.uk (So note that afraid.org never gets to know about the top domain) and added records as I required.
So exch.mydomain.co.uk currently returns 4.2.2.2 which I've only set in afraid.org
Hope that makes some sense!
EDITED: 5 Nov 2013 14:17 by PILOTDAN