I’m quite surprised how easy it is to setup an SSIS package to read and write data to a SQL Azure database. A simple data flow task with an ADO.NET Destination is easy to setup, just make sure the SQL Azure table has a clustered index otherwise writing data will not work (as this is a pre-requisite).
The SSIS team have added a BULK INSERT option on the ADO.NET Destination in SQL Server 2008 R2 to improve performance, this blog entry covers the details: http://blogs.msdn.com/mattm/archive/2009/11/12/something-new-for-ssis-in-sql-server-2008-r2-november-ctp.aspx
On the topic of indexes, it looks like there is a bug in the scripting engine in SQL Server 2008 R2. Scripting the index as DROP to an SSMS window returns the following however the ONLINE syntax is not supported with SQL Azure