You're fine using the Front End (FE) server to generate the request. I use the wizard on the FE to generate all my requests. The only thing to make sure of is that you use the correct Subject Name (SN) and any Subject Alternate Names (SANs) that you require for additional domains. The SN should match the FQDN of the external interface of the Edge Server.
Once you've created the request and received the Certificate back from the CA you import it into the FE server (using whicheve method you used to create the Cert in the first place).
Then simply use the MMC Certifiates Snap-In to export the Cert, don't forget to select the option to export the private key. Once exported you import it onto the Edge and assign it to the external inteface.