Compose a bcp script that exports the contents of all your tables to local files.
Start by writing a query that will output a bcp command to export each table in your target database to a path on your destination machine:
SELECT
'bcp '
+ SCHEMA_NAME(schema_id) + '.' + name
+ ' out '
+ ' D:\local_backup_directory\' + SCHEMA_NAME(schema_id) + '.' + name + '.txt'
+ ' -c '
+ ' -S servername.database.windows.net '
+ ' -d database_name '
+ ' -U username '
+ ' -P password'
FROM sys.tables;
Execute this query using bcp against your SQL Azure database from the machine you want to copy to and save the results to a cmd file. Execute that cmd file to export each table to a text file.
C:\> REM ask bcp to save the results of the above query to a file
C:\> bcp "SELECT 'bcp ' + SCHEMA_NAME(schema_id) + '.' + name + ' out ' + ' D:\backup_directory\' + SCHEMA_NAME(schema_id) + '.' + name + '.txt' + ' -c ' + ' -S servername.database.windows.net ' + ' -d database_name ' + ' -U username ' + ' -P password' FROM sys.tables;" queryout output_path\bcp_script.cmd -c -S servername.database.windows.net -d database_name -U username -P password
C:\> REM execute the bcp commands saved to file
C:\> output_path\bcp_script.cmd
This is a quick and dirty approach, and is not suitable for large databases or complex schemata.