A couple of days ago Microsoft Research has posted Windows Phone 7 + Cloud Services SDK, that enables the creation of Windows Phone 7 (WP7) applications that leverage research services not yet available to the general public. The primary goal of this SDK is to support the efforts of Project Hawaii (which building blocks are based on Windows Azure Platform), a student-focused initiative for exploration of how cloud-based services can be used to enhance the WP7 experience.
So if you are interested in Windows Phone 7 Development and would like to add Windows Azure services to it, do try this option out.