Azure SQL Data Warehouse (SQL DW) is a new platform-as-a service (PaaS) that distributes workloads across multiple compute resources, called massively parallel processing (MPP).  Loading data into a MPP data warehouse requires a different approach, or mindset, than traditional methods of loading data into a SMP data warehouse.

To help you with understanding how best to load data into SQL DW, Microsoft has released an excellent white paper by Martin Lee, John Hoang, and Joe Sack.  It describes the SQL DW architecture and explores several loading techniques to help you reach maximum data-loading throughput and identify the scenarios that best suit each of these techniques.

Check it out: Azure SQL Data Warehouse loading patterns and strategies

More info:

Using SSIS to Load Data Into Azure SQL Data Warehouse

Migrating data to Azure SQL Data Warehouse in practice

Different approaches to inject data into Azure SQL Data Warehouse

Copy Activity performance and tuning guide

Load 1 TB into Azure SQL Data Warehouse under 15 minutes with Azure Data Factory [Copy Wizard]