Custom domains and self hosting

I have a worker sitting on foo.bar.com and I want my customer to be able to self host it on their site bar.baz.com. Currently foo.bar is being served in a cross origin iframe and it's running into issues with the newish 3rd party cookie changes.

I've been googling in a circle because I'm absolutely not using the correct terms, and the are all so loaded! Is there a good guide to follow anywhere?

I think I need to get the client to update their CNAME - but with what values, and how it's generated - I'm really not sure!

Any help and pointers would be ace - thank you!
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