I've done exactly that: http://www.viper007bond.com/feed/
I did it by editing my .htaccess file and adding the following BEFORE "# BEGIN WordPress":
RewriteRule ^feed/?$ http://feeds.feedburner.com/viper007bondcom-rss2 [QSA,L]
RewriteRule ^feed/rss2/?$ http://feeds.feedburner.com/viper007bondcom-rss2 [QSA,L]
RewriteRule ^feed/rss/?$ http://feeds.feedburner.com/viper007bondcom-rss [QSA,L]
RewriteRule ^feed/atom/?$ http://feeds.feedburner.com/viper007bondcom-atom [QSA,L]
RewriteRule ^feed/rdf/?$ http://feeds.feedburner.com/viper007bondcom-rdf [QSA,L]
RewriteRule ^rss2/?$ http://feeds.feedburner.com/viper007bondcom-rss2 [QSA,L]
RewriteRule ^rss/?$ http://feeds.feedburner.com/viper007bondcom-rss [QSA,L]
RewriteRule ^atom/?$ http://feeds.feedburner.com/viper007bondcom-atom [QSA,L]
RewriteRule ^rdf/?$ http://feeds.feedburner.com/viper007bondcom-rdf [QSA,L]
RewriteRule ^somestringoftext/(feed|rdf|rss|rss2|atom)/?$ /index.php?&feed=$1 [QSA,L]
Replace somestringoftext with some random string of text and give those URLs to feed burner (yoursite.com/somestringoftext/rss2, rss, etc.). That'll allow Feedburner to still get a copy of your feed.