Point your MX-record to your On-Prem Exchange Hybrid Server or Exchange Online Protection (Office365).
Leave your MX-Record pointing to your On-Prem Exchange Hybrid Server, and keep you mailfilter service.
Point your MX-Recod to Exchange Online Protection (EOP+Office365) and have your mail washed by EOP.
Why would you choose either and what do you need to know?
Some customers have an expensive mailfilter service, either On-Prem or trough another vendor.
Even more expensive if most of your users will be migrated to Office365, because their Plan will include mailfilter in EOP.
But the users you keep On-Prem will need to be counted with an EOP license when you report your licenses in use.
Requirements: Exchange 2010 SP1 (Prefer SP3 or 2013) Hybrid Server
From Exchange 2010 SP3 this is pretty automated, cause the Hybrid Configuration Wizard (HCW) will add all your Send/Receive Connectors. Just point your MX-record where ever you would like it.
If you can’t upgrade to SP3 you will need to add the Send/Receive Connectors manually in your EOP Settings.