If you want to get started doing data science with R in the cloud, a good place to start is Stephen Elston's free O'Reilly report, Data Science in the Cloud with Azure ML and R. But if you learn better with a show-and-tell approach, he now also has an O'Reilly Video Training course, Data Science with Microsoft Azure and R. The first part of the course is free, and includes an overview of Azure ML Studio (the browser-based drag-and-drop data science workflow tool), using the built-in data import, manipulation, and modeling modules in Azure ML, and using the Execute R Script node to run custom R code. Stephen takes you through the step-by-step process of writing and testing the R code in R studio, then running it as part of the workflow with ML Studio.
The remainder of the course must be purchased to view (current price is USD$119.99), and covers advanced R topics including the dplyr and ggplot2 packages, statistical modeling (including regression, time series and random forests), and writing functions in R. There's also a chapter on publishing Azure ML models as Web services. To get started with the free part of the course, follow the link below.
O'Reilly Video Training: Data Science with Microsoft Azure and R