I have setup Sever, database and Firewall Setting (Rule) In windows Azure. I Have added The IP In firewall setting which is populating under the Windows Azure Firewall Tab.<
If you find that you have to do this on a regular basis I would suggest installing the Windows Azure Powershell Cmdlets. Once you have those installed I've created an open source project on GitHub which provides a number of scripts of common tasks.
Changing Firewall rules just so happens to be one of those common tasks and the source can be found here: Windows Azure Powershell Extensions
In order to get these Extensions installed you can follow the instructions on my blog post SQL Azure Powershell for Developers on the Run!
In a future update I will be providing additional functionality to provide the publishsettings file instead of needing to create a CSV file of SubscriptionId and Thumbprint's for your Windows Azure Accounts.