'Non-unique column' error when creating a third table using SELECT INTO and FULL JOIN
Just in case it isn't clear what the problem is the result of the SELECT has two columns called CustomerID. One from each table. A table can't have two identically named columns so the attempt to create a table with that format fails.

The solution is don't use *. 

List out the columns you want explicitly and remove duplicate columns that you don't need or use column aliases to disambiguate any dupes that you do actually need.

Usually for a full outer join what you actually want is 

SELECT COALESCE(Customer.CustomerID,SalesOrderHeader.CustomerID) as  CustomerID
       /*, other columns*/  
INTO   CustAndOrders
FROM   SalesLT.Customer
       FULL JOIN SalesLT.SalesOrderHeader
              ON Customer.CustomerID = SalesOrderHeader.CustomerID; 


but it seems dubious that you need a FULL OUTER JOIN here anyway. Probably you need a LEFT JOIN