I managed to make it work, with some help from a friend. This is what I did:
Added reference to System.Configuration
in order to use ConfigurationManager
Added to the App.Config:
<appSettings>
<add key="StorageConnectionString" value="UseDevelopmentStorage=true;DevelopmentStorageProxyUri=http://127.0.0.1:10001/"/>
</appSettings>
In order to connect to local storage account:
CloudStorageAccount st = CloudStorageAccount.Parse(ConfigurationManager.AppSettings["StorageConnectionString"].ToString());
Hopes it helps other stuck with same problem!