Create Sub-domain on just CloudFlare or both cPanel and CloudFlare

I set up a domain on Cloudflare that is also on a cPanel hosting. Now I would like to set up sub-domains as well. My question is, do I need to create a sub-domain on my cPanel and also create that same sub-domain on Coudflare, or can I just create the sub-domain on Cloudflare?

Furthermore, if I can do it either way, is there an advantage to one way over the other?

Thanks in advance!

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