1. Log into your CloudFlare account.
  2. From the dropdown menu on the top left, select the domain.
  3.  Select the DNS icon.
  4. Select the record type from the record type drop-down on the left-hand side. A subdomain will either be an A or CNAME record type.  
  5. Enter the record name and value.
  6. Click Add to finish adding the record.

Should I orange-cloud my subdomain?

Only A and CNAME records that handle web traffic can be proxied by CloudFlare. All other entries that are not web traffic (mail, ftp, etc.) should be toggled to a gray cloud. A gray cloud means that the traffic is not passing through the CloudFlare network. If you are seeing errors with the new DNS record, it's likely the hosting provider is not allowing a proxy or the virtual host name is not properly setup. Opening up a ticket with your hosting provider may help resolve your issues.