I put together a sample on how you can configure, download, analyze and manage your performance counter logs on a Windows Azure service all through the new capabilities we've added with Windows Azure PowerShell Cmdlets 2.0.

Here is a link to the detailed article:

http://michaelwasham.com/2011/09/19/windows-azure-diagnostics-and-powershell-performance-counters/

If you haven't downloaded the 2.0 Cmdlets: http://wappowershell.codeplex.com/