Some firewalls have FQDN capability (e.g., Watchguards), which makes careful rule creation practical for a behemoth like Microsoft Office 365 and all of its related services. The info below is condensed and sorted from here. I have omitted a very few items (e.g., ports 25, 143, 465, and 993, and *.msn.com), for reasons which I hope are reasonably obvious.

Create one rule with these ports:

80, TCP
443, TCP
587, TCP
3478-81, UDP
5223, TCP
50000-59999, TCP and UDP

to the following list of locations, and it is done.

*.aadrm.com
*.aadrm.com
*.aka.ms
*.apple.com
*.aspnetcdn.com
*.aspnetcdn.com
*.assets-yammer.com
*.azure.com
*.azure.net
*.azureedge.net
*.azurerms.com
*.azurerms.com
*.azurewebsites.net
*.cloudapp.net
*.cloudapp.net
*.cloudappsecurity.com
*.cloudfront.net
*.edgekey.net
*.edgesuite.net
*.getmicrosoftkey.com
*.gfx.ms
*.live.com
*.lync.com
*.microsoft.com
*.microsoftazuread-sso.com
*.microsoftonline.com
*.microsoftonline-p.com
*.microsoftonline-p.com
*.microsoftonline-p.net
*.microsoftonline-p.net
*.microsoftstream.com
*.msappproxy.net
*.msecnd.net
*.msecnd.net
*.msecnd.net
*.msecnd.net
*.msedge.net
*.msft.net
*.msftauth.net
*.msocdn.com
*.mstea.ms
*.o365weve.com
*.office.com
*.office.net
*.office365.com
*.onedrive.com
*.onenote.com
*.onenote.net
*.onestore.ms
*.onmicrosoft.com
*.optimizely.com
*.outlook.com
*.phonefactor.net
*.sfbassets.com
*.sfx.ms
*.sharepoint.com
*.sharepointonline.com
*.skype.com
*.skypeassets.com
*.skypeforbusiness.com
*.sway.com
*.sway-cdn.com
*.sway-extensions.com
*.tenor.com
*.trafficmanager.net
*.trafficmanager.net
*.virtualearth.net
*.visualearth.net
*.visualstudio.com
*.windows.net
*.windowsazure.com
*.windowsazure.com
*.yammer.com
*.yammerusercontent.com
ajax.googleapis.com
ms.tific.com