Does anyone know what are the steps necessary to run Windows Phone 8 Emulator in an Azure VM? I can\'t seem to add the Hyper V role which the Emulator complains that it need
No!
Unfortunately you can't! The issue with the fact that the WP8 Emulator needs and uses Hyper-V. And in Windows Azure we are already virtualized. So simple rule:
You can't virtualize what is already virtualize
This is the same as you can't install Hyper-V role on a Windows Server which runs inside Hyper-V already. So, no solution to your question at all.