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Have a look at this Screaming Frog http://www.screamingfrog.co.uk/seo-spider/ Its one of the best tools to use for creating sitemaps in our opinion.

Thanks for your help, I get it now! In addition to your video, I also found a post on Matt Cutts' blog that answers it: http://googlewebmastercentral.blogspot.com/2009/12/handling-legitimate-cross-domain.html