You don't create the subdomains in the settings, you create them in cPanel (or whatever your host uses).
First step
Create subdomains in cPanel and point them to /public_html/
e.g. m.mysite.com
Second step
Go to Mobile Joomla component. Go to advanced settings. In the area "Subdomains" input the domain you want mobile users to see when they browse the site on their device.
e.g. m.mysite.com
Done.
Potential issues
- htaccess rules may stop or intercept this re-direct. Check your htaccess file to ensure it's not re-directing your subdomain traffic. When I set this up I also had a rule to re-direct all non-www traffic so the mobile subdomain didn't work. I used the following code in .htaccess:
##### Redirect non-www to www -- BEGIN
RewriteCond %{HTTP_HOST} !^m\.mysite\.com [NC]
RewriteCond %{HTTP_HOST} !^www\. [NC]
RewriteRule ^(.*)$
www.%{HTTP_HOST}/$1 [R=301,L]
##### Redirect non-www to www -- END
Hope this helps you.