We had a customer with multiple smtp domains at onpremise Exchange.

1. First you need to add them to authorized domains in Office 365 control panel.
2. Add the given txt -records to public dns.
3. Go back to Office 365 control panel and verify domains.
4. Next go backup to onpremise Exchange and type the following to EMS

Set-HybridConfiguration -Domains somedomain.fi,someotherdomain.fi,autod:primarydomain.fi

5. Then Hybrid Configuration Wizard (HCW) again and you will a page that includes these domains.
6. Grap the txt-records with ctrl+c from here and add them to public dns.
7. After dns has been updated you need to run HCW again to proof the ownership of these domains.

After that the Hybrid wizard will run smoothly to the end.