I'm setting up my custom domain with Blogger and from tutorials I can see Blogger should be giving CNAME records upon entering custom domain.
That isn't happening. Has Blogger changed how this is done ? The tutorials are only about a year old.
Thank you for enlightening me.

A bit late with the answer, but maybe this will help someone else reaching this.
I had the same issue, I guess because I used Gmail with my custom domain, so it was already registerd and verfied with Google through the MX record.
What you need to do is go to Google's Webmaster, there you can see all your Google registered domains (make sure you are logged in to your Google account). Than:
Make sure to also add the global Google CNAME record:
Worth mentioning that it takes some time for the records to set.