If they're using some web based personal email (e.g. Hotmail / Yahoo etc.) it probably isn't possible - but if they're downloading it using an email client via POP3 / IMAP it should be pretty easy to do as Colbyt said above.
The only exception I can think of to this is Gmail, where you can set it to use various outgoing addresses; but this will reveal the personal Gmail account address to most people as it'll display from "x@gmail.com on behalf of y@properdomain.com".
Another point to consider is that Hotmail et al. tend to have pretty aggressive spam filtering that can see genuine mails get junked/lost at times. It would therefore probably be best to keep email under your full control and download it directed from the domain (i.e. use POP3 or IMAP) rather than forwarding elsewhere.
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