I'am using an extra Site Collection for all my My Sites (maybe also an extra Web Application). Within SharePoint I have to set the Portal Site Connection between different Site Collections manual, for each Site! Means for all my My Sites!
To set a default Site Connection from the My Site to the Portal for all my My Sites do the following:
- open: http://mysite/_layouts/settings.aspx
- go to Portal Site Connection
- enter the URL of your portal
Now every new generated My Site will have as default Site Connection,the URL of the Portal you have entered. You will see this by the link back to the portal on the My Site Page on the top at the left side!