Effective management of an Azure SQL Database involves understanding its built-in features for scaling, security, and performance. First, regularly monitor your database’s performance using Azure's built-in metrics and alerts. Always back up your data and leverage automated backups to avoid data loss. Use elastic pools for managing multiple databases efficiently, especially for applications with unpredictable workloads. Additionally, ensure that your database is properly secured by configuring firewalls, using encryption at rest and in transit, and regularly reviewing access control policies to limit permissions based on roles.