You can add a CNAME by going to the DNS settings for the domain.
The CNAME for smugmug would likely be something like:
CNAME photo is an alias of domains.smugmug.com
CNAME photos is an alias of domains.smugmug.com
Note: You probably need to toggle the orange cloud to gray temporarily so SmugMug's verification works properly. You can then re-enable the orange cloud once this has been completed on their end.
More about Cloudflare's DNS services