While it may or may not have been planned from the conception of the series, it was very well thought and planned out from at least season 2. This Wikipedia article contains some good comments from interviews and discussions with the Deep Space Nine writers. Among the comments:
In 2002, Star Trek: Deep Space Nine producer Ira Steven Behr stated that unlike some plots, which originated from a single small idea, the creation of the Dominion villain and story arc was "very much thought out."
Behr said that the earliest mention of the Dominion was purposely planted in the comic Season Two Ferengi episode, "Rules of Acquisition", to leave the audience with an impression of "how important could it be?"
I searched for more, but couldn't find anything, other than a comment or two, and nothing that provided more insight into this than the Wikipedia article. Since the introduction of the Dominion starts in Season Two, and there's no indication they discussed it before then, it's very likely that with the pilot and Season One, they were more concerned with setting the ground rules for the series, as well as defining and introducing the characters. I strongly suspect if they had wanted to do this from the very start of the series, they'd have foreshadowed it or planted more seeds in Season One.
Also, there's this tidbit:
Executive producer Michael Piller suggested the idea that the Founders of the Dominion be the race to which Odo belongs, toward the end of Season Two production...
Which indicates all the pieces were still being put together during the planning and writing of Season Two.
But, if nothing else, we know it was intended and they had the rough plan of it from the planning for Season 2.