Say you want mail to
addy1@yourdomain.com to forward to....say...a hotmail account.
You set up forwarding for that address, but don't create the address in your control panel. Now, you will, of course, get that mail at your hotmail acct, when you log in and check your mail, and there will be no mail stored at your domain for that account (because it doesn't exist).
If you use Outlook Express, you can choose to forward mail you receive from an existing pop account, and it will delete it from the server.
To set up fwd with autoreply, simply create an autoreply, create a forwarder, and just don't create the email account! So, set up an autoreplyer for mail to
addy1@yourdomain.com, and set all mail to addy1 to be forwarded to any real account. Don't create the account
addy1@yourdomain.com and mail will forward and not stay anywhere, and you'll still have an autoresponder set up for
addy1@yourdomain.com.
Anybody who sends mail to addy1 will receive the autoreply, and you will get their forwarded message at your target address.