Microsoft has implemented DKIM, DMARC and SPF in Exchange Online, the only thing you have to do is enable it. The only thing for DKIM you have to do is create two CNAME records in DNS and enable DKIM in the Exchange Admin Center.
DKIM CNAME records
The CNAME records you have to create for DKIM look like this:
Selector1 and selector 2 are the 2 selector tags (in Office 365 these will always be selector1 and selector2), the _domainkey is a default tag that will be added. Of course you have to replace the contoso.com with your own domain.
The CNAME records have to point to the following locations: