My WordPress powered blog is installed in a subdirectory. Does that change anything?
That depends on where the index.php and .htaccess of your installation reside. If they are in the root while the rest of the WP files are installed in a subdir, so the site is accessible from your domain root, you do not have to do anything. It should work out of the box. But if the index.php is together with your wp-config.php and all other WP files in a subdir, meaning your blog is only accessible via that subdir, you need to manage your own robots.txt file in your domain root. It has to be in the root (!) and needs a line starting with Sitemap: followed by the full URL to the sitemap feed provided by XML Sitemap Feed plugin.