The only way you can create a 'backup' in SQL Azure is to either:
(A) Create a BACPAC using the tools in Azure itself. This isn't a real backup though, it seems to script the structure and the data and recreate it - so what comes back from the 'restore' is not identical in structure to what you backed up.
(B) Use a third party tool. The one I've used is Red Gate SQL Azure backup which is currently free. This will either front end option (A) or copy the database to a local instance using a prepacked version of SQL Compare / SQL Data Compare under the covers.
(C) If what you want to mitigate is your database accidently being mucked up by an application / user (rather than resilience) you can just copy the database to another one in SQL Azure.
If you want transactional integrity, you have to do option C first to guarantee consistency. Bear in mind though that there is no concept of a transaction log restore though, so you can't recover to a point in time.
Microsoft would say that the prospect of your database going down permanently in miniscule, and therefore that DBAs might worry too much about this!
Finally there are syntactical differences in Azure - you can't just ship any old SQL Server 2008 R2 database up there and expect it will definitely work!
Hope this helps.