Is the Sync to Outlook button greyed out for you on the ribbon of the tasks list?

SharePoint and Project Online has a built in Outlook Sync feature available. In order to sync your tasks, your Outlook mailbox needs to be hosted on an Exchange 2013 server deployed in the same topology. If you are using Project Online (which is an Office 365 offering), then you need to make sure to use Exchange on Office 365 as well to take advantage of this new feature.