Oh Microsoft, it seems like you make simple things complex.
I could not find anything on converting an existing ssh key for use with Azure. Once I figured out what was needed and the commands available to me, it was easy. It only took me hours of fiddling with ssh-keygen and openssl.
The magic was learning that openssh stores its id_rsa in a format which openssl can read. This means I can use openssl directly to convert this private key.
openssl req -x509 -new -days 365 -key id_rsa -out id_rsa.x509req.pem
Type in your password for your private key (if you are not using a password, you should be.) Then fill out the certificate request fields.
Now you can boot your azure vm using id_rsa.x509req.pem
azure vm create jrwtest b39f27a8b8c64d52b05eac6a62ebad85__Ubuntu-12_04_3-LTS-amd64-server-20130916.1-en-us-30GB jwren –location “East US” -e -t id_rsa.x509req.pem
Now you can secure shell to your azure vm.
SWEET. No generating new ssh keys for me.