Do you expect anyone would ever type www.blog.mysite.com anyway? "www" is a subdomain like "blog", so it's unlikely that anyone would type them both.
Anyhow, I have a subdomain on my site, and if I type "www." before it the browser just goes to the subdomain anyway. Perhaps that's because I redirect "www" to the non-www version for the domain name anyway.
Just to clarify, do you prefer your site to show "www" in the address or not?
Have you looked at the sample code section of my signature's tutorial? Have you looked at the sticky threads for this board? It's all there (except your domain name)!