Thank you both for taking the time to reply. I really appreciate it.
That may explain it but I'll have to look into it.
Just to help out others in similar situations, I'll try to explain a bit here. The website takes about 1500ms-1700ms to load. Part of the problem is that it makes 31 requests and per second only 20 can be served. Hence the extra 500ms. Only way to combat that is by gzipping or css sprites, which I'm already using with horizontal and vertical groups, or you can use another static domain to serve content to make parallel downloads possible. Now I did a few test runs with sub-domains before I inquired about CNAME entries. In both cases, instead of website loading faster, it started loading slower. It took about 2200ms-2300ms to load with a sub-domain. I verified that by running multiple tests. And the results were similar. So I'm fairly positive that adding a sub-domain, which adds another IP address(90ms-100ms), connection(200ms-500ms) and latency(130ms-300ms), does not help at least in my case. However, it does shave away, the extra 300bytes cookie.
If the cookies are set to use say, www.mydomain.com, and not the top-level domain, mydomain.com. They won't effect sub-domains. The trick is to add the extra www and with dreamhost its fairly easy to do. But the porblem does come back if you're using a mirrored domain.