Do I change DNS Servers setting on my domain registrant (domain not with you), or I just point their DNS to my IP with you?
Depends on what you are planning to do. If you are going to host your own DNS server then you should point your domain name to our web server. If you want us to host your DNS server, then you ask your registrar to point the name servers to our DNS server.
Unless you have a specific reason to manage DNS elsewhere, I would recommend changing the name servers for the domain and letting us handle the DNS. It's easier for you, and a lot less prone to problems. There's one less link (to break) in the chain, so to speak.
