As of early 2016, I find the new Azure portal very unintuitive to navigate & unfortunately the Microsoft documentation seems to be work-in-progress, so I’m starting a chain of blog posts to help me remember where useful settings are.
Inbound & outbound security rules:
In Resource groups, click on the appropriate resource group (e.g. testRG) to expand the detailed pane.
In the pane that appears, click on the Network Security Group for the relevant VM. This is denoted by the shield icon & has the same name as the VM.
In the Settings pane that appears, click on Inbound or Outbound security rules to add a new rule.