I often just need the Remote Desktop file of a VM to work. For that it takes a longer time to go to the portal and download. Rather I prefer the PowerShell way of doing it.
$vm = "WGTFS2015"
$service = "WGTFS2015"
$file = "C:\Azure\WGTFS2015.rdp"
Get-AzureRemoteDesktopFile -Name $vm -ServiceName $service -LocalPath $file