Heroku custom domain link

What is the correct way to connect a Heroku app with a custom domain?

This is how I did it in the past:

1. Point Godaddy's DNS to heroku's provided target (example: https://peaceful-escarpment-22825.herokuapp.com)

2. Turn on domain forwarding on the domain

3. Add domain to Heroku in the settings

For some reason now my provided target from Heroku is like this: mycustomdomain.com.herokudns.com. When I add that DNS to GoDaddy I get a There's nothing here, yet. page.

Where am I going wrong? Thanks!

via AndrewLeonardi