Just found this, if you’re using Azure 1.1,  which you probably will be if yo'u’ve moved to Visual Studio 2010.

To change the default database to something other than sqlexpress for Development Storage do this -

Look at this -

http://msdn.microsoft.com/en-us/library/dd203058.aspx

At the bottom it states -

Using Development Storage with SQL Server Express 2008

By default the local Windows Group BUILTIN\Administrator is not included in the SQL Server sysadmin server role on new SQL Server Express 2008 installations.  Add yourself to the sysadmin role in order to use the Development Storage Services on SQL Server Express 2008.  See SQL Server 2008 Security Changes for more information.

Changing the SQL Server instance used by Development Storage

By default, the Development Storage will use the SQL Express instance.  This can be changed by calling “DSInit.exe /sqlinstance:<SQL Server instance>” from the Windows Azure SDK command prompt.