If you are using an external DNS provider then the correct way to setup an external mailserver is firstly to create an A record with a hostname pointing at the nameservers IP address, for example:

mail.yourdomain.com. A 123.123.123.123

Once this is done you should then set the MX record to point at this A record, as follows:

0 MX mail.yourdomain.com.

You should not set the MX record to an IP address directly as this is incorrect, an MX record is meant to point to a hostname and can behave incorrectly when pointed to an IP address. If you are using NetHosted nameservers and you wish to make this change simply submit a ticket explaining this with the external mailserver IP and we will make this change for you. This applies to shared hosting accounts, if you have a reseller hosting account you can make this change yourself via your WHM hosting account.