How to Backup a SQL Azure Database
Currently, SQL Azure does not include any backup options. Two products are planned for 2010 – Continuous Backup and Clone Backup but no announcements have been made. As a workaround you can consider using SQL Data Sync .
It should be noted that data on SQL Azure databases is replicated across 3 geographic regions which should secure your data from a disaster recovery point of view.
Updated August 25 2010