Azelf is superior to Gengar in every single way possible.
That really isn't true...and this will shock you all but I'm not in favor of Azelf >>> Gengar at all in this case. The team's problems are lying on the defensive front, something that Gengar has over Azelf for sure. For the record Gengar also has better coverage, if that means anything.
I don't see what adding an Azelf would do for this team. It's not even close to Gyarados coverage (it can't even revenge kill it without thunderbolt).
I must disagree about Gyarados not staying in on Weezing sims. If your Weezing ends up not having Thunderbolt (and Gyarados is going to scout for it if it's smart), Gyarados will try to set up again and will sweep the team. Sometimes people just assume it doesn't have Thunderbolt and fire off DD waterfalls at it.
Also Swampert is a really good lead. Nothing is going to be knocking it out besides SpecsMence (love that thing) and a Grass Knot Bronzong, and I'm pretty sure not even that OHKOs (and nobody uses Grass Knot Bronzong leads). Inernape leads aren't common at all either.
Weezing isn't the best Gyarados counter, but it works, so I'd go Thunderbolt >>> Sludge Bomb right now and leave it at that. I don't see any usefulness in Sludge Bomb.
With the current lineup, the biggest problems are physical dragons and MixApe. the DDers are stopped by Swampert and if it fails, revenged by Weavile. Anything of a special sweeping variety is handled by Blissey. That basically leaves most Garchomp and also CBmence, as well as a MixApe weakness.
Guess what covers those? Mesprit and Cresselia! Both counter SDchomp and most Salamence, though CBchomp is trouble (but that's a given with any team not carrying a steel). Still, with a CB that means it lacks a Yache Berry which means that Garchomp is OHKOed by Weavile. That's the best I've got. I'm hesitant to put them over Gengar as you lack a way to hit physical walls hard otherwise. I'm hesitant to take out Weavile because it's a last-ditch effort to kill dragons. That leaves Lucario...