before you start my instructions you want to go to your wp-admin and go to general settings. change both the wordpress address (url) and site address (url) to the sub-domain. that is actually pretty critical so you don't go hunting through settings in the mysql database afterwards if you forgot. don't bother trying to access your wp install until you have actually changed folders around.
now to change from the main domain to a sub-domain go to your dh control panel and go to manage domains and create your sub-domain (ex: blog.mysite.com) to be fully hosted. ftp (or ssh) into your account and rename mysite.com folder to temp.mysite.com, rename the blog.mysite.com folder to mysite.com then rename temp.mysite.com to blog.mysite.com.