If memory serves, if you can log into Mailgun, it will have some text on how to set up all those things on your dashboard. Congrats on switching - Mailgun has vastly superior deliverability, at least in my observation.
We started off using Sendgrid too but found that our emails were often ending up flagged as spam, even though we had the SPF records and all that jazz. I should note that our emails were not spammy at all. Switched to Mailgun and haven't had any issues since.
I have also noticed that false positives from other startups in my own spam folder are often sent through Sendgrid (though I suppose that's not dispositive since it could just be that more startups use Sendgrid).
