Oooh, I'm trying to do this too. Would love to hear the answer to this.
@Murdoch Do you know how to set up the Confirmation page to go to mailchimp instead of squarespace?
I followed this video (https://www.youtube.com/watch?v=siH1M1jZfzs), but my Confirmation and Thank You pages are coming from Squarespace instead of mailchimp.