To enable SQL Azure for your web role you simply need to enhance the following settings in your configuration files:
ServiceDefinition.csdef
<ConfigurationSettings>
<Setting name="SqlAzureHost"/>
<Setting name="SqlAzureUserName"/>
<Setting name="SqlAzurePassword"/>
<Setting name="SqlAzureDatabase"/>
...
</ConfigurationSettings>
ServiceConfiguration.cscgf
<ConfigurationSettings>
<Setting name="SqlAzureHost" value="HOST_NAME.database.windows.net"/>
<Setting name="SqlAzureUserName" value="USERNAME@HOST_NAME"/>
<Setting name="SqlAzurePassword" value="PASSWORD"/>
<Setting name="SqlAzureDatabase" value="DATABASE"/>
...
</ConfigurationSettings>
The trick here is to add the server name behind the username.