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This project was completed in June of 2013. Azure is rapidly evolving. I will attempt to keep this information and the application up-to-date, but beware that Azure changes could affect the accuracy of this information.
Note that there are lots of rough edges in this POC app. The SSL cert is self-signed. The URL is based on an Azure domain. A real web app would need a URL that is based on your organization's domain. You would need a properly issued SSL cert for the app's URL. An Azure cloud service can be configured to use your organization's domain if you can prove ownership of the domain.
One Azure IIS configuration setting is not documented. The ID assigned to the site by Azure appears to be a random number. I did not observe this number changing, but it is unclear if this number could change at some point. The blog series discusses the site ID and the necessity of placing the correct one in the shibboleth2.xml file.