Domain Registered in One location, Records Elsewhere, Website Another Location....

Need a little advice if anyone can assist.

I have a domain registered with GoDaddy and setup with the Name Servers of my VPS hosted elsewhere. On my VPS I am hosting the mail for that site, but the website itself is being run by a third-party on their server. I currently have a meta-refresh in place to forward traffic to the third-party.

What I would like to do is configure the DNS to forward webtrafffic to the third-party while keeping mail direction on my VPS.

The solution I believe is correct:
GoDaddy points to Name Servers of VPS - currently in place
A record pointing to IP of third-party - in place but not functioning
MX record pointing to mail-dot-mydomain-dot-com - in place
CNAME pointing to VPS IP - in place
CNAME for www-dot-mydomain-dot-com pointing mydomain-dot-com - in place
All TTL's are low for quick updates.

Is my setup correct?

In your DNS zone at Godaddy, all you need to do is update the 'www' or whatever other record you choose to use for your website and point it to the IP of the webserver that is hosting your website. Then on the webserver, you will most likely need to update the host headers to accept the domain name for that website. This is very typical for webservers that host more than one website. The webserver needs to send the traffic to the correct website, based on the URL.

Not sure why you have "meta-refresh in place to forward traffic to the third-party." in place if you all you need to do is point the DNS record for your website to the correct IP that is hosting your website.

Zone records are on my VPS. I believe the web traffic is setup correctly using a A record for the third-party server IP and CNAME for www pointed at the domain name.

The issue I have is with mail traffic.

By the way, thank you for your replys, I much appreciate the help.

The meta-refresh was in place until the DNS records updated, which they now have - it was a temporary solution.