An Office 365 user was trying to make Outlook use his vanity domain as the From address instead of the Office 365 default domain (onmicrosoft.com).

This is not something that is controlled from Outlook, its set on the server. While you can have multiple addresses assigned to your mailbox (and receive mail sent to those addresses) Outlook always uses the default SMTP address assigned to the Exchange account as the address for replies or new messages.

In a local Exchange server, changing it is as easy as the administrator logging into the server and changing a mailbox policy. It usually takes longer to log in than it does to make the change.

In Office 365, the administrator can log in and change individual users or use a cmdlet to change the domain used by all users. If the account you want to change is the administrator account (common among SOHO users), you either need to make a new admin account and log in with it to reassign the primary email address of the first account or use the set-mailbox cmdlet.

If you choose to create a second administrator account, you do not need to assign a mailbox to it (therefore, no license is needed). It won't be used for receiving email and will not be using Office 365 outside of the administration panel. If you are purchasing more than one account, you can (and probably should) make at least one of the other accounts an administrator. Do not delete the onmicrosoft.com account, especially if you have already set up the other online services.

These steps assume you've already added the domain to the online account and your account has administrator permissions.

1. Login into portal.microsoftonline.com
2. Click users & groups
3. Double click on the user name whose address you want to change
4. Click details
   
5. Select a different domain from the domain name list for the User name.
6. Click Save

Using the set-mailbox cmdlet takes a little longer but will be faster if there are a large number of addresses to change, since you can use a CSV to update the addresses.

1. You'll need to configure PowerShell to connect over the Internet. If you don't use Windows 7 or Windows 2008 R2, you may need to uninstall PowerShell and install the current version. See Install and Configure Windows PowerShell - if using Windows7 or 2008 R2, skip to Step 4 in these instructions.
2. Establish a connection to the online server. See Connect Windows PowerShell to the Service for details.
3. Run the Set-Mailbox cmdlets for the users that need changed from @onmicrosoft.com addresses to your domain addresses. The cmdlet is formatted like this:
   Set-Mailbox diane -EmailAddresses SMTP:diane@my-domain.com

For more information and instructions to change multiple users using the cmdlet, see
Change a User's Primary E-mail Address

The easy way to avoid this hassle is to create the Office 365 account, add your vanity domain (and set it as the default domain) then add users and mailboxes, however, many people want to try Office365 before they move their existing domain to the service and use the initial administrator account for email during the trial.

Fortunately, you can change the default domain for new accounts in the portal or with a cmdlet (cmdlet is only available in the on-premises Exchange 2013).

Set the Default Domain for New Accounts

You can set the default domain for new users in the Office 365 Admin Center.

Login to the portal, click Domains. Select the domain that you want to set as default then click the Set as default link on the right.

This screenshot is from an E account; Business accounts are similar but may be missing the left bar.

If you prefer to use a cmdlet, you'll use the Set-AcceptedDomain cmdlet (available in on-premises only).

Set-AcceptedDomain -Identity cdolive.com -MakeDefault $true