I have been testing VM on Azure. I have created a SQL VM running SQL 2012 on Windows 2012 and would like to connect to it via SSMS 2012 on my local instead of connecting via RDP through Azure Portal.
Yes, this is well documented.
Once you have configured the firewall, the ports, and your instance to use SQL authentication, you should be able to connect to the computer name (i.e. name.cloudapp.net)
You would need to leverage Windows Azure Virtual Network for this type of connectivity.