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In SQL Server Azure, there are no Dynamic Management Views (DMVs) or Performance Monitor Objects and Counters that you can access, so you can’t run your standard performance monitoring that way. I suspect that as time goes on, SQL Azure will have some instrumentation, but for the time being, you’ll have to go with a different metric – round trip throughput.
What I mean by that is you’ll need to measure the start of a transaction and it’s completion. In the end, this is the only metric that matters anyway, but it is helpful to know what to fix – and this metric doesn’t help you with that.
What’s been working for me is to develop my queries locally using all my tricks and tools, and then post those up to SQL Azure. While it’s not a one-to-one map, it does seem to fit the bill for now. I’ll keep you posted.