I use a custom domain, but have it set up to forward all addresses to Gmail, mainly to use their spam filter. I'm not sure what your particular use-case for the on-demand addresses is, but you might be able to set up some Gmail label rules to sort it for you on that end too.

The only downside is that you have to manually verify your custom domain's 'sent from' addresses in Gmail, so you can't easily reply from arbitrary addresses.