I got it all working :-)
In case any one else reads this and is feeling the same way I was - I just wanted to follow up and say that it takes some persistence to get things right the first time you deploy to Azure and the deployments themselves take a while (mine were
about 20 min each time) but as I've come to understand and appreciate everything Azure is doing I am convinced that it's all worth it!
I am hopeful that the module deployment story will get easier (and may work on that myself at some point) but the command line script is very helpful, and I really like that it does tests of the storage as part of the build.
I've added some comments with specific tips on the Wiki page for deploying on Azure.