I have just tested it briefly and it works as it is supposed to.
If you want to turn FastCGI on, you must log in into your Dreamhost panel and go to Domains -> Web. Single checkbox and FastCGI is enabled. Couldn’t be simpler.
Dreamhost, regarded by many as the hosting company is indeed staying on the cutting edge, being the first major player to support Rails.
UPDATE: It’s now official.