When running Exchange setup, at "Configure Client Access External Domain" screen, I am right inserting the same domain (es. mail.mydomain.com) on both servers?
Yes, you will need to specify the domain on both CAS servers when you install them. What you'll want to do is set up your load balancer to answer to
mail.yourdomain.com and then add your two CAS servers to the load balancer.
Do I need to create a CAS array?
Yes. If you don't create a CAS array, when one of the servers fail your DAG will fail over and clients will still be trying to talk direct to the dead server. With a CAS array, the client session may drop out momentarily, but will re-establish itself pretty quickly, and most importantly automatically with the other DAG member.
As an additional consideration, you only mention one load balancer. It looks like you're trying to achieve a high availability setup, and as it stands your load balancer is currently a single point of failure. Bear in mind that with Exchange 2010, pretty much everything goes through a CAS server so if your load balancer (which is also your CAS array) were to fail, you would have a big problem on your hands. Also worth bearing in mind if you haven't already is your internet connection. If you only have one connection from your building to the outside world, that is also another SPOF you should be aware of.