SQL Azure Federations and the Atomic Unit Identity

Question

I've started work on my first Azure application, and I'm learning a lot as I go. One of the features I discovered recently was Federations in SQL Azure, essentially the SQL Azure sharding implementation so we can scale horizontally.

My project started using SQL Server, and was already largely grouped by user Profile, so I decided that makes the most sense to federate on. I've created the federation, including all of the child tables with one snag - Identity is not supported. I get why it's not supported, what I'm not sure on is what best to replace it with. This seems like a huge problem that someone else must have solved, but I haven't been able to find much.

I could just use UniqueIdentifier, but I read that can be a pain to split on. I'm also not too sure of what other performance issues I could run into using a GUID as my Primary Key for federated tables.

I'm using this with Entity Framework, but haven't got to the point of making that federation friendly yet. From what I can tell, it's not much more complicated than executing some code to select your federation before writing your LINQ query, but I'll cross that bridge when I get to it.

For the moment, I have no idea how best to actually add items to my federation, because there is no good solution to generating an identity.

Any advice would be greatly appreciated.