I was struggling for several days how to set up this nice system, but eventually I found the right components in the right places. The missing key element was Bettigole's nicely written manual, but here are some further pointers.
It seems that Campaign Monitor requires you to have an acknowledgement of acceptance. I didn't get this right in the beginning, so be sure to do this.
The other thing is that you might want to consider sending the email to yourself and setting up an auto response on that email. If you do this, be sure to check the email2 option for a secondary email, where you set the sender as the person signing up. This way your auto responder will send an answer to that person.
Here is the code
<p>Your Name (required)<br /> [text* your-name] <br /> Your Email (required)<br /> [email* your-email] <br /> <br /><br /> [checkbox add-to-list-ok default:1 "Please add me to your list of subscribers now"]</p> <p>[submit "Send"]</p>
This is what it looks like: http://easywordpressblogsetupinstructions.com/wordpress-newsletter-signup