Esat Erkec has a guide showing how to configure and use Azure SQL Analytics on Azure SQL Database:
The most important and challenging responsibility of a database administrator is monitoring performance metrics. Because monitoring performance and troubleshooting performance issues are considered to be difficult. For this reason, we need diagnostic and monitoring tools to measure performance counters and metrics. For Azure SQL there is a tool which is named SQL Analytics. With this tool, we can measure and monitor Azure SQL databases and elastic pools. At the same time, we can create alerts for notifications. SQL Analytics offers performance metrics in graphical form. In this article, we will learn how to enable Azure SQL Analytics.
This is a long and screenshot-filled post, which is helpful if you’re getting started.