If you just want to export all the tables in a SQL database in to separate CSV files, then this is a quick and easy way of doing it.

1. Execute below query which generates BCP commands
   
   SELECT ‘bcp ‘ + st.NAME + ‘ out c:\Target\’ + st.NAME + ‘.csv -c -r -d ‘ + DB_NAME() + ‘ -U user@??????.database.windows.net -S tcp:?????.database.windows.net -P ?????? FROM sys.tables st
2. Paste the result set into text file. Make batch file and schedule it. (It can also be run in CMD manually)