Navigate to the "Manage Domain" page for your domain on GoDaddy. It should look something like this:

godaddy1.png

Click on "DNS Manager". This should open a list of all the records configured for your domain. Unclick every "filter" on the right hand side except for "NS" and it should look like this, where you have NS records for the whole domain (pointing at GoDaddy's DNS servers, which they call "domaincontrol.com"):

godaddy2.png

Click on "Quick Add". Enter the local part of your Direct address hostname - for example, here we're creating a "direct.nhindirect.org" Direct address, by entering "direct" as the host, and using the example HISP canonical hostname as the name server it points to:

godaddy3.png

Click "Save Zone File", and you're done. It may take time to get pushed live, but in my experience it was live immediately.