dedicating space/site and then redirecting seems pointless, although space and bandwidth would be minimal unless you have a yahoo class domain in hits. I have done the opposite myself. I have my DNS set up for fabulous.com which hits their PPC page. From there, I have a popunder or exit page that redirects to my hosted page where the domain is parked on top of my main page.
Alternately, I'd create a page for hosting the domain and have either links to your third party parking, or a popup to go there. I think you could probably find a javascript that would send the user to sedo, etc.upon close of your page.