You do not need to instruct your application to capture performance counters. AzureWatch will do so thru Azure Diagnostics Management API.
You do need to enable Azure Diagnostics Manager, however.
This is a fairly straightforward MSDN article that explains how to enable the Diagnostics Monitor: http://msdn.microsoft.com/en-us/library/gg433052.aspx
You can also visit this great blog post for information on how to do so. Azure Diagnostics Monitor needs to be enabled on all the Roles and point to the same storage account
You also need to make sure to deploy your application through the same storage account that you've specified for Diagnostics Monitor to use. This provides AzureWatch with information in a single place as to when your Azure configuration was last changed.