Powershell commnd to Attach data disks to a VM:

Use import parameter set of Add-AzureDataDisk

   Get-AzureVM "<CloudServiceName>" -Name "<VMName>"
| Add-AzureDataDisk -Import
                    -DiskName "<DiskName>" 
                    -LUN <LUN#>
| Update-AzureVM 

 LUN: logical unit number location for data disk in VM(0-15)