Is there a reason why you can not just use BCP (Bulk Copy) to import the data directly into SQL Azure? BCP supports CSV files and I suspect you could create a pretty simple process to import the data on a daily basis using this tool. If you do this, make sure you read up on some of the ways that you can optimize the load of the data. This can really make a difference if you have large data sets.
thank you for the outstanding link, it will come in handy. The reason i can't use a bulk copy is because i do not control the instances that send the csv's. these are fixed points that send data on a regular basis (i'm sorry i can't get into detail about this :))