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.