Hi Dan,
I had just set up a custom 404 page in the same manner you linked to. Since I had my local test site running, I checked this quick.
Basically, WordPress handles all incoming requests, including 404’s, so an .htaccess line isn’t necessary. In this case, WordPress will return the correct status code 404 for the requested url.
The only difference is it will now serve your custom template, instead of the default, along with the proper 404 error response code.
Ying is spot on correct 🙂
Hope this helps.