Problem with sub-domains

Hi
I seem to have successfully set up a network as in I have a network admin menu etc.
I use Plesk 10 on a VPS but have all my DNS at my domain name host where I point the . A record and a www A record at my IP address, works fine. I have also pointed a * wild card A record at the same IP address (I am using sub-domains as my installation is 3 months old) to see if it will action sub-domains, it hasn’t.
I wonder if anyone knows a method of actioning sub-domains, and subsequently multisite whilst keeping DNS at third party
Many Thanks
Nick Garnett