Yeah, you're on the right track. I've used AZCopy for exactly this type of operation with Azure SQL Data Warehouse. I used Azure Automation instead of Elastic Jobs. I'm not sure what the difference is there, but if the one is working for you, stick with it.
"The credit belongs to the man who is actually in the arena, whose face is marred by dust and sweat and blood"
- Theodore Roosevelt
Author of:
SQL Server Execution Plans
SQL Server Query Performance Tuning