Running through the creation of host headed site collections and deployment can be frustrating at times as there doesn't seem to be much documentation out there.
Our environment is an application/source server sitting within our domain and a WFE farm out in the DMZ. All content is sent to the WFE by content deloyment.
Create a standard publishing site on the application server with the required host header. Then with the stsadm createsite command with the values for the host header site collections - you can add the sitetemplate to the createsite command or login to each site and set the template from there.
Create a host headed blank site on the WFE and a blank site collection. Then with the stadm createsite command create the host headed site collections.
stsadm -o createsite -url hostheadedurl-owneremail owneremail-ownerlogin ownerlogin-hhurl rootsiteheadedurl-title sitetitle-sitetemplate BLANKINTERNETCONTAINER#0
[There are other options that can be set]
It was at this point that I found an issue where, if I used the STS#0 template as the sitetemplate the deployments later would not run. Login to each site and pick the blank site template and accept the permission defaults.
On the application server - content deployment - create a path from the root site collection to the root site collection on the WFE. You'll need to create a path for each of the host headed site collections and then create a job for each one.
Don't forget, as I did the first time round, to add the host headers onto IIS and either have them registered on your DNS or add them to the hosts file.
Edit: I forgot to mention that AAM will have no entries for these host headed site collections. You can add a flag to create the site with it's own content database if you need (maybe easier for the DBA to control)