I'm trying to set up e-mail forwarding for one of my domains registered with GoDaddy. I want the e-mail to be contact@thedomain.net

I selected the forwarding option for domain, set the forwarding for contact@thedomain.net, added my e-mail where to send forwarded e-mails. However, it doesn't work yet. It says: "Pending setup: validating MX record". When I click on that, I'm shown this article: http://help.godaddy.com/article.php?article_id=321

The problem is I don't know where to set up the MX records in my hosting account CPanel.

Do you have a web site hosted on your domain? If so, is it at GD or somewhere else?

If you have a site hosted, the zone file with the MX record would be there and you would set up the forward via your hosting control panel.

Yes, I have a website hosted on the domain, but elsewhere. Not with GD.

In my hosting CPanel I don't see any MX records icon. There is a "Webmail" icon in which I can select between 3 e-mail clients (NeoMail, Horde and SquirrelMail). However, there doesn't seem to be an option to forward all incoming e-mails to an other mailbox.

I'd like to set up the forwarding to my Gmail mailbox, so that I could be sending e-mails marked as sent from "contact@thedomain.net" right from my Gmail account (this is possible with Gmail).

You should have a "Mail" icon in cpanel. Under that you should have "Forwarders" which will allow you to set up an address on the domain and forward it to another address you want.

The default for hosting accounts is that the email is also hosted in the same place, not at the domain registrar...

Yeah, it's there. I don't know how couldn't I see it. So I have set it up, but it doesn't work yet. I will see and will let you know then. Thanks.

There might be a delay in the delivery, but it should start working right away.