While there are many 3rd party tools free on the web, SQL Azure now comes with it’s own import/ export capability. The import/ export package comes in the form of .BACPAC.
Currently in CTP Form, you can see the new import and export options when you log on to your SQL Azure portal.
You can download the tool here. The website also list 5 pre-requisite SQL Server ‘Denali’ components you have to install (Note: You do not need SQL Server ‘Denali’).