As a system administrator, edit the local domain in question. Under the Options tab, you will see a drop down setting for Domain Location. Select either External (use MX record) or External (use host address). If you select the latter, you will need to provide either the FQDN or IP address of the the Office365 host address. There is also an additional option: "Deliver locally if user exists". As the option implies, if you have a local user account, messages will be delivered to the local server otherwise those messages will be passed to the external host (either by MX record lookup or directly to the host address).
I hope this helps!