We are using google apps gmail for our company emails.
I want to use sendgrid for transactional mail in our web app, and I want all replies to that transactional mail to be parsed and posted to our api.
How do I set this up? Do I need to point some subdomain MX record at sendgrid and use that subdomain in the sender address for the transactional mail? Or is there some way to use the domain?
Have you read through the Parse documentation? You need to setup a subdomain that is CNAMEd to mx.sendgrid.net, and then enable Parse on your SendGrid user. Any mail sent to that domain will be parsed & POSTed by SendGrid.