ASP.NET MVC 4 - How do I transform my database connection strings upon deployment via Team Foundation Service to Azure?

You could also use multiple ServiceConfigurations:

Then, instead of saving your connection string in the web.config you add it as a setting in your ServiceConfiguration:

Since you have multiple configurations you can give a value to SomeConnectionString for each configuration (meaning you can fill in your database settings for the Test, Development and Cloud profiles).

Finally in your code it would be easier to have a factory class that creates the new context based on the connection string in your ServiceConfiguration:

public static class MyDataContextFactory
{
    public static MyDataContextEntities Create()
    {
        return new MyDataContextEntities(RoleEnvironment.GetConfigurationSettingValue("SomeConnectionString"));
    }
}

I think you would create multiple web.config files for the different environments

How to: Transform Web.config When Deploying a Web Application Project

There is a blog article listed here on how to combine this in TFS auto deployment

If it's just you (or all developers have the same connection string), and you don't mind your connection info in source control, it's easy. Azure will overwrite your connection string with the connection string information that you enter in the Azure Management Portal in the website section under config. Just make sure that the name is the same.

So, for example, if your web.config has name="DefaultConnection" connectionstring="your local db, trusted connection, etc, etc".....as long as your connection string info in Azure has the name "DefaultConnection" (I assume it's pointing to an Azure Database), it'll work.