This blog post is based upon this one from Microsoft, except I have simplified it;
Although the link above, does open up sessions to all of the services from a single window, this allows you to pass commands around, which you cannot do if individual sessions are open.
Exchange Online
$Creds = Get-Credential
$ExchangeSession = New-PSSession -ConfigurationName Microsoft.Exchange
-ConnectionUri https://outlook.office365.com/powershell-liveid/
-Credential $Creds
-Authentication Basic
-AllowRedirection
Import-PSSession $ExchangeSession
Skype for Business Online
Download and install the Skype for Business PowerShell modules;
https://www.microsoft.com/en-us/download/details.aspx?id=39366
$Creds = Get-Credential
Import-Module LyncOnlineConnector
$SFB = New-CsOnlineSession -Credential
$Creds
Import-PSSession $SFB
SharePoint Online
$Creds = Get-Credential
Connect-SPOService -Url https://domain.sharepoint.com
-credential $Creds