Hi Adrian,
If you want to use Aspose.Words for .NET, you can go through the topics listed at http://www.aspose.com/docs/display/wordsnet/Windows+Azure+Platform to work with Azure.
You can also use Aspose.Words for Cloud to convert your documents stored at Azure storage and save output PDFs to Azure storage. Please check Conversion Settings|Aspose Words Cloud Docs for more details.
Best Regards,