This is an article on logging and tracing in windows azure.
The author followed it up here.
Note that this was a 2010 article and Azure has moved on quickly so things could have changed.
The supplied Powershell scripts no longer exist.
The first gotcha that I have found is that the default connection string has moved so the logging setup is:
public override bool OnStart()
// Set the maximum number of concurrent connections
ServicePointManager.DefaultConnectionLimit = 12;
TimeSpan tsOneMinute = TimeSpan.FromMinutes(1);
DiagnosticMonitorConfiguration dmc = DiagnosticMonitor.GetDefaultInitialConfiguration();
dmc.Logs.ScheduledTransferPeriod = tsOneMinute;
dmc.Logs.ScheduledTransferLogLevelFilter = LogLevel.Verbose;
// For information on handling configuration changes
// see the MSDN topic at http://go.microsoft.com/fwlink/?LinkId=166357.
Note with the recent update in Azure SDK 2.0 you will need to set the diagnostics level on the service configuration page.