Yes you can still get execution plans for Azure SQL Database, you cannot get this from the Azure Portal so it is good to know for your tuning days. It is based on the same code you have probably run many times before. Lets get the plan handle and work through an example.
As you can see, I am connected to Azure and issue a query where I want the plan handle.
SELECT top 10 (total_logical_reads/execution_count), (total_logical_writes/execution_count), (total_physical_reads/execution_count), Execution_count, sql_handle, plan_handle FROM sys.dm_exec_query_stats ORDER BY (total_logical_reads + total_logical_writes) Desc
Pass the handle in.
SELECT * FROM sys.dm_exec_query_plan (0x05000600717D5F4D50E12720D401000001000000000000000000000000000000000000000000000000000000)