If you are having trouble adding the CNAME records provided by SendGrid to your GoDaddy DNS, you need to make the following alterations;
They ask for three different records which looks like this;
s1._domainkey.yourdomain
Points to:
s1.domainkey.u23951959.wl210.sendgrid. net
This returns an error, so you need to truncate only the first line, like this;
S1._domainkey. (include that full stop)