So if I delete someone's O365 account, what will happen to all the records that were created by them?
Whatever happens to a user when you delete them from AD, or delete their profile, their username will always appear attached to documents written by them or against comments they've added within your team sites and other intranet sites. This is because of the way that SharePoint takes a local copy of the user information into each site collection when that user interacts with the site. This entry is placed in the root of the Site Collection, in a hidden list called the User Information List. Any documents or list items in that site collection that refers to this user will still refer to them by name.
On side note, if user has their one drive then it will be purged after 30 days of the deletion. check this https://support.microsoft.com/en-ca/help/3042522/onedrive-for-business-retention-and-deletion