Duncan,
As you can tell, the scenario you describe wasn't what MSFT had in mind when they designed 365 so the process is more awkward and confusing than it should be. The basics you should be aware of are:
You can use MSFT's OR your registrar's nameservers
Using MSFT's, steps 1 through 3 should do what you want and leave email etc records intact
If you want to use your registrar's nameservers, which is generally recommended, you will have to park the domain at your registrar and then add all the records found at admin>>domains>>dns settings there.
Once you change nameservers, you don't have to make any changes in 365 like changing web site address as this will have no effect. Your email / team site access will be interrupted while propagation of the new dns records takes place. Usually it takes 10-15 minutes but may be a bit longer.