If you are looking for a quick way to improve your SQL Azure performance then you can check to see if SQL Azure has determined if any useful indexes are missing.
In SQL Server Management Studio (SSMS) run the following against your database
select * from sys.dm_db_missing_index_details
This will output something like (I have obscured some sensitive names)
For example, the above suggested I made the following indexes on AccessNoXRefs table.
For more information see http://msdn.microsoft.com/library/ms345434.aspx and http://msdn.microsoft.com/en-US/library/dn133166.aspx