Just installed Visual Studio 2010. The first thing I tried was creating an new Cloud project.
The whole process was surprisingly painless. After creating the solution, I was prompted to download and install the Azure tools. Once they were installed, I deleted and recreated the solution and was prompted for which Roles I wanted:
After creating the solution just hit F5 to see the project running in the Azure Development Fabric.
The debugger is already connected and all works just as you would expect.