@Avian 1 Integration with the SharePoint site for the Office 365 Groups-connected Yammer group is here for some tenants and starting to roll out to others. Which means that the files uploaded into Yammer get stored in SharePoint - so you get all the SharePoint file goodness (version history, eDiscovery, etc.)
Presently, when you are Posting in Yammer, if you click on the "SharePoint" icon the default view is your OneDrive for Business library. Allowing you to easily upload docs from OneDrive into a post in Yammer. You can also use this function to browse recent files across Office 365, or to view libraries of Office 365 Groups-connected Sharepoint sites.
Is there a specific way of integrating Yammer and OneDrive that you were looking for?