Thank you @JGCMiner
for your helpful response! Now I know that I need to run "bls generate" (presumably from the remote masternode) for each 1000 Dash collateral address.
I followed the guide for my first masternode, and got as far as running the "dash-cli protx register_prepare ..." command (from my local collateral wallet).
Unfortunately at this point, I got:
error code: -32603
No funds at specified address
I followed the instructions as carefully as I could, and I don't think I am supposed to specify my collateral address in that command, but rather the txid and output index of that collateral (which I did).
Any address I used as a parameter to the "protx" command was a new address, with 0 balance, which is what I interpret I was supposed to do.
Do you have any ideas how I can avoid this error?