here are 2 steps you need to perform,
Add the custom domains addon and add the domain your going to use, eg www.mywebsite.com to your application
Go to your domain registrar control panel and set www.mywebsite.com to be a CNAME entry to yourapp.herokuapp.com assuming you are using the CEDAR stack.
There is a third step if you want to use a naked domain, eg mywebsite.com when you would have to add the IP addresses of the Heroku load balancers to your DNS for mywebsite.com