I does not go on a host, it goes in your DNS server. If your box is not a DNS server, you cannot add one. Sendmail has several options to ignore MX mail routing but eventually you will not to route to a mail relay.
Usually the place where your registered your domain will provide the dns servers for your domain. Just as your domain name has an "A" address record so does your mail server. What the "A" record does is point the mail server, let's say mail.yourdomain.com to the ip address of your server just as the "A" record for you domain name did. Next you will create the "MX" mail exchange record. All this does is assign the mail server for you domain. In other words, mail.yourdomain.com will handle the mail for yourdomain.com. There is usually a priority number involved. If you know someone with a mail server you can use as a backup when yours goes down it is nice to have. Many times your registrar will provide a mail server also. Just give it a higher number. For example if mail.yourdomain.com is set at 10, then mail.ispserver.com would have a value of 20. I can't get more specific without knowing your regisrar but this should point you in the general direction.
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