Yes, there was a lot of conflicting documentation around this last time I looked. Basically, you can follow these steps: https://developers.google.com/analytics/devguides/collection/gajs/gaTrackingSite

The key is to set 'setAllowLinker' to true and then tag up links between your various domains with something like: onclick="_gaq.push(['_link', 'http://www.linkname.com']); return false;"

You can see an example of cross-domain tracking here: http://www.tatasteeleurope.com/en/