I made a post on SQL Server Backup to URL that describes how to take a backup to URL. Earlier, this needs the credential created before you take a backup but now, creating credentials using Policy on the container and Shared Access Signature Key (see more this with SQL Server On-Premise Database files maintained in Azure) can be done with the given GUI. This saves time and not only that, it clears the confusion had with previous GUI.
The new GUI is come with SQL Server Management Studio July Preview.
This is what we had before;
Now the interface with latest Management Studio;
If you have already created a credential, it can be picked from the first drop-down. If not, click on New container button and Sign in to your Azure Account. Once signed in, select the Storage and Container.
You can generate the Shared Access Signature by clicking Create Credential button, and complete it.
Now you can select the Azure storage container and take the back.