This is entirely out of the scope of my plugin. The only real answer I can give to this question is “however you want.” I know Matt Wiebe at somadesign.ca had an inventive way, and I know they’re going to roll this out in a future version, but any answer for this question would be so subjective and depend on your particular site and theme, as well as the particular implementation of custom post types.
Another question: I can get the yearly archive to load. I have a custom child theme based on 2010 base. But: only yearly archives work, no monthly archive. I just added 1 custom post entry, but I guess that should not be the point. I get a 404 when e.g. calling “../blog/2010/09” where “blog” is my post type. “…/blog/2010/” works fine. Any idea?