I couldn't get the SSIS import / export to work as I got the error 'Failure inserting into the read-only column "id"'. Nor could I get http://sqlazuremw.codeplex.com/ to work, and the links above to SQL Azure Data Sync didn't work for me.
But I found an excellent blog post about BACPAC files: http://dacguy.wordpress.com/2012/01/24/sql-azure-importexport-service-has-hit-production/
In the video in the post the blog post's author runs through six steps:
Make or go to a storage account in the Azure Management Portal. You'll need the Blob URL and the Primary access key of the storage account.
The blog post advises making a new container for the bacpac file and suggests using the Azure Storage Explorer for that. (N.B. you'll need the Blob URL and the Primary access key of the storage account to add it to the Azure Storage Explorer.)
In the Azure Management Portal select the database you want to export and click 'Export' in the Import and Export section of the ribbon.
The resulting dialogue requires your username and password for the database, the blob URL, and the access key. Don't forget to include the container in the blob URL and to include a filename (e.g. https://testazurestorage.blob.core.windows.net/dbbackups/mytable.bacpac).
After you click Finish the database will be exported to the BACPAC file. This can take a while. You may see a zero byte file show up immediately if you check in the Azure Storage Explorer. This is the Import / Export Service checking that it has write access to the blob-store.
Once that is done you can use the Azure Storage Explorer to download the BACPAC file and then in the SQL Server Management Studio right-click your local server's database folder and choose Import Data Tier Application that will start the wizard which reads in the BACPAC file to produce the copy of your Azure database. The wizard can also connect directly to the blob-store to obtain the BACPAC file if you would rather not copy it locally first.
The last step may only be available in the SQL Server 2012 edition of the SQL Server Management Studio (that's the version I am running). I do not have earlier ones on this machine to check. In the blog post the author uses the command line tool DacImportExportCli.exe for the import which I believe is available at http://sqldacexamples.codeplex.com/releases