This might look like an easy blogpost (actually, it is) but every time I’m struggling with this, so I decided to write it down.
My default MFA authentication method was a text message (SMS) on my phone. This works fine, but it is not always easy to work with, especially not when using the native mail app on a mobile device. So, to change it, logon to OWA or the Microsoft Portal, click the initials in the upper right corner and click View account:

You can also navigate to https://myaccount.microsoft.com to get here directly. In the overview page click on Security Info to see the MFA methods available. To add a new method, click +Add Method.

In the pop-up window, select another method, for example the authenticator app and click Add. The first step is of course to download the authenticator app on your device, if it’s already installed click Next.

In the Setup your account pop-up box click next and a QR code will appear on your screen:

In the authenticatorapp, click the + icon in the upper right corner, select your account type and select Scan QR code. Approve the sign-in on your device, the security info will show Notification approved and you’re good to go.

The last step you have to do is to change the default sign-in method on the security info page by clicking Change next to Default sign-in method.