A custom recipient will work and add the user to the Address List(s), but the e-mail address for the custom recipient will be the real e-mail addy in a different domain (someone@anotherdomain.com).
If you want an e-mail addy at your domain (someone@mydomain.com) to forward to this other e-mail (someone@anotherdomain.com), then it's a two step process. I don't know if there's a way of getting around creating a mailbox or not.
What I have done is first create the Custom Recipient in Exchange Admin. This will have the user's Internet address (someone@anotherdomain.com).
Next, I create a full fledged mailbox for the user (this will have the someone@mydomain.com address). On the "Delivery Options" tab, I set the "Alternate Recipient" option to that of the Custom Recipient I just created.
You then have the option to deliver messages to both the recipient and the alternate, or just the recipient. I normally deliver to both so I can maintain a copy of any e-mail message sent to the user (just in case, you never know. . .).
Hope this helps. If there's an easier way to do this, hopefully someone else will respond, but, I know this way works. Good luck!