[llamabeast]

You're doing it right, in fact (the first way, that is: Network->Setup a Dominions Server). The Waiting for Participants screen is where you want to end up. Then people need to join the game, and only after people have joined and someone's clicked "Start Game" do you get to set the remaining options.

There are ways to do it a little more cunningly as well, if you want to automate it.