Hey Rich, I used to RDP to database on cloud servers. beyond that test/dev servers were kept local so I would only RDP to them when I needed to move files but for SQL queries i'd run through SSMS.

I've also connected to the cloud databases using SSMS however after upgrading to SQL 2008 R2 I found it was really slow to connect locally. My shortcut was amended to connect automatically without me passing credentials, SEE below link if its of any help:

http://stackoverflow.com/questions/4212912/url-to-make-ssms-start-and-connect-to-a-db