Using Office365 with MailGuard for inbound filtering is simple.
You simply need to make sure that the route you have set for your added domain is the Office365 mail-server hostname, and then change the MX records.
Once the domain is added, we strongly recommend that you then create a X Header based transport rule directly within Office365, to allow all traffic from the filtering server IP's before changing MX record to avoid any delivery issues.
To do this login to your Office365 system with an account that has Administration rights and perform the following: