Good! Found out myself! :)
To redirect http://a.mysite.com to http://mysite.com:8000 follow these steps in the cherokee admin web environment:
First create a virtual server with name a.mysite.com and give it a document root, e.g. /var/www/a.
Then link to the sources tab and create a new information source by clicking the 'plus' icon. Enter a.mysite.com as nick and mysite:8000 as connection.
Go back to the vServers tab. After making sure that the a.mysite.com server is selected check that the host match method is set to 'match nickname'.
In the behaviour tab select the 'default' directory and in the handler tab select 'HTTP Reverse Proxy' from the handler dropdown list. Then select 'Round Robin' as balancer in the Back-end Server section.
In the section Assign Information Sources section select a.mysite.com as application server.
Then save and restart Cherokee.
You can preform the same process for b.mysite.com.
Or, when your site becomes more popular, you can add more application servers to a.mysite.com .