Should I add an SPF record under mail.mydomain.com subdomain?
Yes you should, it's best practice, and the receiving mx may well have not just DMARC but other milters filtering based on SPF / DKIM.
In theory DMARC makes allowances for comparing an email from a subdomain against the SPF record of the domain (you might want to add 'aspf=r;') but the specification for SPF states you should have an SPF record for each and every subdomain - even if just to try and prevent others from sending SPAM from those domains.
Similarly DKIM alignment should ideally match subdomain (again, DMARC policy can make allowances (you might want to add 'adkim=r;')) which would again be best practice to allow that alignment.
Also:You would probably be better removing "mx" from the SPF and replacing with with the IP addresses of your mx as this mitigates the potential for a DNS lookup failure impacting on email delivery.
Beyond that, I'd be interested to know how you get on!