Hi Charles,
Just as mchv2.0 mentioned above, you can just cancel at step 5 and do not change name server records to Microsoft. Then you can add DNS records as required in the following article from the current domain provider side:
Add your domain to Office 365 but continue to manage your domain's DNS records
onlinehelp.microsoft.com/.../hh416759.aspx.
After doing these, you can continue to host your DNS with the current domain provider and check DNS records there.
Thanks,
Nancy Xie