I am SO tempted NOT to respond to this, but can't help myself. Abraham, if all you wanted to do is forward your mail from one provider to iCloud, I congratulate you. But if you wanted to combine your iCloud account with your business domain email, so that you can receive and send from your domain using iCloud on your devices, then alas, forwarding alone will not solve your problem.
Roger is right, the web UI for iCloud will not currently allow for you to send from your own domain, but as you may have found, you can certainly forward (if your domain mail host allows this service) to any address you want to, iCloud included. Take care to make sure SPAM filters at your domain don't inadvertently snag mail though, or worse, copies build up, maxing out your hosting limits.
As for sending from your domain, spoofing outgoing SMTP servers, this is a bit more complex and I recommend you read the thread I mentioned. I have 3 iCloud accounts set up in Mail.app on my MacBook Pro, and in the iOS Mail app on my iPhone 6, iPhone 4S (currently acting as an iPod Touch) and an iPad 2. All three independently receive forwarded mail from domains other than iCloud, AND all three have their SMPT servers set to reply by default from their respective alternate domains. It's been pretty seamless. And I can report that the sent mail does indeed get stored in the iCloud Sent folder. Which I love.
I admittedly haven't had to set this up in a long while, and with my latest devices the settings just transferred over. It may be even easier now. I haven't tried it, but it use to be that you couldn't manually change the outgoing mail servers on an iCloud account, but tricking the applications by creating an IMAP account, you could. What you'd end up with was an iCloud account with editable outgoing SMTP settings.
I followed up just in case someone who actually wants a more complete solution happened to be reading this. The beauty of all this is you have the smooth integration of iCloud push, syncing all your email across devices with little delay and very reliably. The times I've used IMAP alone, things have been far from reliable and nowhere near synced. As for Exchange, the experimenting I did just didn't work as smoothly as iCloud using Apple applications: archiving, flagging, marking messages as replied/read/unread/forwarded, moving messages from one account to another, etc. Maybe if I worked on it more I could get Exchange to play the way I want, but I've not dedicate the time. What I have works for my needs.
Hope this helps clarify for those in need.