Windows Azure Storage Queues are for message-passing. They're not going to help you for state-machine processing, especially since each message can be processed at least once (since an app can run into an unexpected exception case while processing a message, the vm instance could crash, etc., and then the queue message re-appears after timeout (and now potentially out of order with the rest of your messages.
You're better off using an Azure Table row (or SQL table row).