As you know, OneDrive for Business is your personal storage space on Office 365 as well your personal directory to access and manage shared content (either shared with you or by you).
Well, you can now add a shortcut pointing to content shared with you in your My Files.
To start using it, access your OneDrive (https://<your tenant>-my.sharepoint.com) and access the Shared section to access the Shared with you tab
There select the shared content you wish to create a shortcut to and click the Add shortcut to My files button
Then when you go back to your My files you will see the shortcut to access the shared content
The shortcut will also be available in your device if you are using the OneDrive client to sync your data.
Then if you want to remove the shortcut repeat the above steps but this time you will have Remove shortcut from My files