Login to any of apps in Office 365 like https://outlook.office.com or https://portal.office.com
Click your Initials in the top right corner, then "View Account".
Under the Account Options > Click on "Security Info". You will see it in 2 places, click on either one. They both take you to the same place.
Here you can update or delete any authentication methods and Add a new method by clicking on "Add Sign-in method".
You can find more information on the setup process for the Authenticator App and Setting up SMS (Text Messaging) at the links below.
Authenticator App: How to setup Multi Factor Authentication (MFA) using the Microsoft Authenticator App – Thompson Restaurants (thompsonhospitality.com)
SMS (Test Messaging): How to setup Multi Factor Authentication (MFA) using Text Messaging (SMS) – Thompson Restaurants (thompsonhospitality.com)