CloudFlare says you have to complete the the DNS nameservers entry before. After I’d started the process and calling GoDaddy who is currently hosting my web site and has their own DNS servers, I deleted the DNS entries and did not complete the steps (0 of 4 steps). However, now my website no longer loads. I understand if you switch nameservers, that there is typically a 24 hour delay for propagation. But why the delay - there really shouldn’t be as far as I know.
Of course, it now works. Guess I need to be more patient!