Unfortunately, as far as I can tell, Heroku does not allow you to set MX
records for their subdomains.
To counteract this, you can do one of two things. You may setup MX records for some domain (or subdomain) you own, and point that to SendGrid. OR you may use the preconfigured bymail.in. This service has MX
records preconfigured to send to SendGrid. To use it simply direct your users to email your-sendgrid-or-heroku-username.bymail.in
(e.g. yay@nquinlan.bymail.in
).