As others mentioned, Azures aren't usually the worst. I actually help set up a fairly small tank with one. As with all fish, having a plan for the tank upfront helps tremendously, but stuff happens. Since you already have them, we'll assume the plan is that they stay.
Most saltwater fish I've ended up keeping are at the least moderately aggressive. With damsels, you'd probably be best to avoid the rare few that truly are not: PJ Cardinals, Firefish, etc. You've basically now got a semi-aggressive tank.
Semi-aggressive success, in my experience and learning, really starts with the build. Territory is the most important factor, so you'll need to make sure you're set up with this in mind. This means multiple cave networks for hiding places at different spots throughout the tank. Hiding spots provide a territory base for the aggressive fish as well as places to dart into and hide for anyone being chased. More caves across the tank usually is better.
Sight lines are also a big deal. I really like my figure 8 racetrack rockwork setup for this purpose, and actually have played around with other barriers like macro algae to obscure various parts of the tank. Basically, when you design for an aggressive tank, get innovative on ways victim fish can bail out of sight if they're chased. With the figure 8, fish can dart around a lot of my rockwork and get out of sight if they're fast enough.
And finally...redo your setup if and when you get problems. This is hard if you love the design the first go. But, since these are territorial fish, you can de-escalate the situation by undoing territories. If you take away their cave and change it up, the tank will have to re-establish hierarchy. I've made small tweaks occasionally when a pair of fish were battling over a connected cave similar to this recommendation and it actually worked.
Hope this helps!