Been asking this same question myself. Here's the approach I took:
So I did the standard setup of the server. Provisioned in Azure and installed Active Directory Domain Services.
Then I used this tool: http://blogs.technet.com/b/ad/archive/2014/12/15/azure-ad-connect-one-simple-fast-lightweight-tool-to-connect-active-directory-and-azure-active-directory.aspx
Of course, that doesn't work for me because none of my users are in AD!
So I did more research, and came across this: Migrate user accounts from Azure AD to on-premise AD?
Using the second answer, I was able to export from Azure and Import into AD.
A word of warning: On the first go, I broke authentication. But that seems to be because I set up DirSync/SSO and ADFS before I imported. All of the accounts I imported are blocked, so everytime DirSync runs, it blocks my accounts in Azure. So I recommend you start with this process:
1) Add two accounts to your AD. - One to your local AD, the one on your server. - One to your Azure AD that ISN'T part of your Office 365 subscription. Use your .onmicrosoft.com domain. Give it admin over your AD. 2) Set up Azure Active Directory Powershell, and make sure you have regular Active Directory Powershell: https://msdn.microsoft.com/en-us/library/azure/jj151815.aspx
3) Connect your MSOL using the Azure AD account you created.
4) Perform the export from Azure AD in the guide linked earlier.
5) Perform the import into your local AD, per the same guide.
6) Verify your accounts.
This is where I'm still figuring it out myself. The above should answer your question over how to transfer the users. But now, as for setting up SSO and DirSync, I can't direct you. But I used AD Connect and that seems like it's going to do the trick for me. But make sure you learn how to undo what it does! I managed to break authentication for almost an hour while I figured it out!
Good luck! Let me know how your project goes, and I'll let you know how mine does.