Understanding query performance in SQL Azure can be accomplished by utilizing SQL Server Management Studio or the SET STATISTICS Transact-SQL commands. Since SQL Server Profiler isn't currently supported with SQL Azure, this article discuss some alternatives provide database administrators insight into exactly what Transact-SQL statements are being submitted to server, and how server accesses the database to return result sets.
Utilizing SQL Server Management Studio you can view Actual Execution Plan on a query. This gives insight into the indexes that SQL Azure is using to query data, the number of rows returned at each step, and which steps is taking the longest.
Here's how to get started: