Auditing in SQL Azure is very easy to set up.Below is the data that will be captured..
Access to data
Schema changes (DDL)
Data changes (DML)
Accounts, roles, and permissions (DCL)
Stored Procedure, Login and, Transaction Management.
Once you set up Auditing,the files will be stored in Storage account which you Can download as excel file...
Now Azure gives an option to monitor Audit logs using power BI as well..
We have configured auditing for tables which are inserted heavily(1 million inserts per day minimum)..we didnt saw any performance degradation.
Updated as per comments:
Auditing is at database level as of now,if you want to audit a single table only ,triggers can be your best bet
Few links which may help you..
https://powerbi.microsoft.com/en-us/blog/monitor-your-azure-sql-database-auditing-activity-with-power-bi/
https://azure.microsoft.com/en-us/documentation/articles/sql-database-auditing-get-started/#subheading-1