I haven't posted anything for awhile due to being busy with my ecommerce project. Recently, I have just started to deploy the project up onto Windows Azure for testing. I had held back deploying until I could deploy on SQL Azure more easily. Previously, you could only execute commands to SQL Azure via a query window and you had to create tables manually via a new query.
The good news is, there's a new version of SQL Server Management Studio that allows you to automate most things now and make everything seem magical. You can download the new SSMS here. The "Export Data" task still does not seem to work so you can't directly export your tables from your local SQL Server to SQL Azure.
You can however directly "Generate Scripts" from your local SQL Server to a version that's compatible with SQL Azure. There's a new option to generate a script that compatible with SQL Azure

And now you can directly connect to the SQL Azure instance via "New Connection". You will need to specify the database you want to connect to. Otherwise, it will just connect to the master table.
Also, don't forget to to add a rule in the firewall settings when configuring SQL Azure from your Windows Azure page. Otherwise, she's not going to let you in.