Since there is no registration we use the message signing system built into the QT wallet to prove you control the address. The basic process is:
By default if you do not have an address set for a merge mined coin it will automatically be converted to your account currency (Mincoin).
You may (optionally) set an address for any coin we mine and you'll be paid out your portion of that rather than exchanging it
Some merge mined coins can't be exchanged so you'll need to set an address for them or they'll be donated to the pool.