You should be able to do this, but it's possible that you are using some features or expecting something in the destination currently that doesn't work (or is changed) in Azure SQLDW. The best thing to do is try.

https://docs.microsoft.com/en-us/azure/sql-data-warehouse/sql-data-warehouse-load-from-sql-server-with-integration-services

Note that there also is Data Platform Studio in beta to help you here. Microsoft has sponsored some of this and certainly some features will always be free. Disclosure: I work for Redgate

http://www.red-gate.com/products/azure-development/data-platform-studio/