Hi,
-> enable CORS ( cross origin resource sharing) on storage account for domain of the web application.
->Provide SAS token to the web page served be the web application
- the token provide access to only to resource being accessed.
->using script in the web page upload/download directly to / from windows azure storage.
->No need for a separate service proxy through which resources will be uploaded/downloaded to / from windows azure storage.
- the service proxy would need to scale and windows azure storage already scales.
Regards.