Trying out LaunchRock, and ran across this:
general-instructions-for-creating-your-cname-record
Basically as far as I'm able to tell they only support using your sub-domain as the URL, not having the "launch page" at "subdomain-by-you.launchrock.com".
Guessing the guide to changing the subdomain and CNAME means you create a subdomain and then while the user sees "signup.yoursite.com" the DNS call is really going to LaunchRocks servers and being routed to the custom page you set up with them, though that's just a guess on my part.