Wanting to deploy to Azure using Continuous Delivery but not use the Visual Studio Hosted Build servers?
No problem; but you need to install the right version of things first!
I then installed a couple of the assemblies from the Azure SDK Lib's into the GAC; these get installed into C:\Program Files\Microsoft SDKs\Windows Azure\.NET SDK\v2.0\ref, and I installed:
If you don't do this, you get an error during the deployment portion of the workflow.
If you try it, let me know how you get on!