You are correct that we have reached end of support for Dynamics CRM 2011. When you refer to "Azure (Not online)", you seem to be referring to On-Premise Dynamics CRM 2011 within Azure VM's. Moving to a virtualized environment within Azure is not a big deal since you are just moving On-premise to On-premise virtualized. There is no significant change needed there and no tool needed for this activity. Just simply export the org, and import the org in your CRM on premise environment you previously setup in Azure.
Doing this, however, means you lose out on many of the benefits of being online.
Moving online is different. To move online, the nature of the environment changes from a hosted model to a SAAS model, which is why Microsoft offers a tool called OP2OL to assist with this process. Currently this tool still supports CRM 2011 migrations but that will likely change soon. If you wish to consider the move to online, you will want to plan to do it soon. Alternatively, you could upgrade to a later version of CRM on premise, such as 2013 prior to migration to either online or Azure since 2013 and later remains supported.
Also, to your point about upgrading through the versions, this is one of the things that the OP2OL does. It performs technical upgrades on your org through the various versions that you mentioned to get to version 9.0 on premise, before it achieves a compatible database format that can be brought into online. When you use the tool, typically you do not have to worry about doing these upgrades since the tool takes care of it for you.
