Enabling Single Sign On for Office 365 using ADFS and Azure

I am trying to set up Single Sign On using Azure for Office 365. For that purpose, I have already set up my ADFS and added a couple of users in the AD. To connect it to Office 365, I read that you have to execute powershell commands to connect Online Services to the AD. 

• Set-MsolADFSContext –Computer adfs_servername.domain_name.com

I am unable to ascertain what the ADFS servername is. Domain Name must refer to the domain I added in Office 365 settings settings. As a result, whatever credentials I type in after executing the PowerShell command, I am given Authorization Error. What can I do to resolve this?