I was working with Azure Bastion security feature that was announced recently and I want to share my experience with you setting up the Azure Bastion Host and connecting to a virtual machine.
If you don't know yer, The Azure Bastion service is a new fully platform-managed PaaS service that you provision inside your virtual network. It provides secure and seamless RDP/SSH connectivity to your virtual machines directly in the Azure portal over SSL. The good thing about this, is that When you connect via Azure Bastion, your virtual machines do not need a public IP address.
Here are quick resources I Put together to help you get started: