Can't upload images from sub-directory to sub-domain

I have set up my wordpress in it’s own directory (mysite.com/cms) but want to host images on a subdomain (cdn.mysite.com/images).

I’ve tried everything I can think of in the Media Settings, and double (and triple) checked the permissions (755), but nothing seems to work. The files are crunching, but not appearing on the server.

Can anyone shed any light on this?

If you have checked the box that says “Organize my uploads into month- and year-based folders” via Settings -> Media, then you have to manually create the wp-content/uploads folder, Year folder (e.g. uploads/2011), Month folder (e.g. 2011/05) and set the chmod to 775 to each of these directories.