Using the instructions supplied by Squarespace, you will be tempted to include the A records in the Subdomain section. WRONG! If you do this, your settings will be rejected and you will get an error message complaining about the @ sign.
What worked for me:
Under the Domain Records area: Do NOT include a Forward instruction - even though Dynadot says to (Maybe there's a good reason for the Forward, but the Squarespace person I talked to didn't seem to think so.) DO define four A records using @ signs and the IP addresses supplied by Squarespace (They are 198.185.159.144, 198.185.159.145, 198.49.23.144, 198.49.23.145)
Under the Subdomain area: Define the first CNAME using the unique code supplied by Squarespace Define the second CNAME using ext-cust.squarespace.com (NOT ext.squarespace.com like Dynadot says)