If your web role has limited functionality, you can simply configure the web project as an active project in your VS solution and run from there.
For example, my web role is not called in the table store, blob store, etc., it just calls some Azure logging and interacts with SQL Azure. So sometimes I just install the web project as a launch project in the VS debugger, not in Azure, and start from there. I wrote my logging calls correctly to check if Azure is available before they are written, so they are not executed in this situation.
Of course, if you do a lot with table storage, queues, blobs, etc., then this is not for you.
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