It’s a regular site in Cloudflare, when you enable the CNAME setup option it seems to just activate without the nameservers being switched (more or less, anyway, from what I can see).
Once that is done you can set up DNS records (at the authoritative host) like
www.example.com. CNAME www.example.com.cdn.cloudflare.net
This all assumes the site is
example.com — you add the same site that you want to host, just like normal.
Since you go through the normal setup you (sadly still) can’t bypass the DNS record detection from the dashboard, so it’ll add tons of useless records, they can be ignored or deleted as nobody will ask Cloudflare anyway. But Cloudflare will get asked about the CNAME alias so it needs to have that record.