DKIM lets receiving mail servers verify that a message really came from your domain and was not altered in transit. You setup your DKIM signature by adding a TXT record to your DNS and signing your email during sending.
If you're using your custom domain just to receive emails, then you do not need to have DKIM. DKIM is only applicable when sending out emails.
Setting up DKIM for your own domain will defer between email senders and is beyond the scope of this FAQ.