Windows Azure Connect is suitable for your situation. However it has been Preview for quite a long time now (close to 2 years if I remember correctly). No one can give you idea whether/when it will become GA (General Availability).
You can certainly experiment and build PoC (Proof Of Concept). It is fairly easy to use. You don't really need anything more than the article you refer to. There is nothing more in the Windows Azure Connect currently.
I would, however not use it for production, as it is Preview and there is no SLA and service may go down at any given point in time.
Another alternative with certainly brighter future is Windows Azure Virtual Network. It, however requires a real hardware router/firewall device with support of IPSEC protocols. The cheapest supported device is CISCO ASA 5505. Also you will need to provide a (managed at our side) fully functional DNS Server. You can read more about Windows Azure VN from following articles: Create a Virtual Network and Create Virtual Network for Cross Premises Connectivity.