For security concerns I'm planning to not allow Azure services to communicate with Azure services but the services it is only working with.
For example, I've some web apps that uses Azure SQL Databases. Should I only add the outbound IP addresses of Azure Web Apps in the Azure SQL server firewall?
or I need to do something else?
The best way to lock down your SQL Database is with AAD Integration, and Managed Service Identities. Azure will provision an AAD identity for your application, and only code running in that application will be able to generate an Access Token for that Identity. Then you can provision it as an AAD user in your SQL Server.
This has the (large) added benefit of removing the secrets from the application, so you don't have to configure your application with a Client Secret, or a SQL Login/Password.
You can also run your App on a VNet, and configure your SQL firewall to only permit access from that VNet using Virtual Network service Endpoints For Azure SQL Database.