The documentation is a little confusing when it comes to project pages, as opposed to user pages. It feels like you should have to do more, but actually the process is very easy.
It involves:
Setting up 2 static A records for the naked (no www) domain. Creating one CNAME record for www which will point to a GitHub URL. This will handle www redirection for you. Creating a file called CNAME (capitalised) in your project root on the gh-pages branch. This will tell Github what URL to respond to.
Wait for everything to propagate.