Presently, the integration with Yammer is very loose. The Yammer link in the top navigation redirects users to the http://www.yammer.com home page, where users can sign-in. Your Organization’s Yammer feed is not yet integrated into your SharePoint Online My Site, and the default Newsfeed remains in place. However, this is just the first phase of roll-out, and Microsoft promises single-sign-on and Yammer feeds integrated into the SharePoint Online user interface in the coming months.
For those that cannot wait, there is a free app that will render Yammer feeds within the SharePoint Online UI, which administrators can download and install from the SharePoint App Store.
My organization – Planet Technologies – uses Yammer (we’re a social bunch), so I am quite excited for the next phase of Yammer integration, which will bring Yammer and SharePoint Online together seamlessly.