There are multiple ways to migrate your database to the Azure cloud. Today, I am testing this sql azure plugin by codeplex. I unzipped it to my local folder and run it as admin.
Now fire up the SQLAzureMW.exe and the script wizard starts up, which is very intuitive, choose the available options, In my case, I will migrate from SQL database to Azure SQL Database. Fill in your database details and run the export. This might take a while depending on how big your SQL Database is. You can also make a selection of tables/views you want to export, or just export the whole database.
Make sure you fill in the correct details for your target server (you can find your sql connection data on your azure Database configure page.)
Now the database will be brought to the Azure cloud, again this might need some time, but you can see the progress on screen.
I'm a big fan of this sql azure plugin by codeplex , Like i said it's very intuitive and gives you several options to work with your local and azure data.