Microsoft has recently released the excellent sample called Windows Mobile Line of Business Solution Accelerator 2008, which includes a sample using SQL Compact 3.5 for local device data storage, and ADO.NET Sync Services for Devices for replication. The data access layer in the sample includes a way (in code), to get two much asked for "features" with SQL Compact, stored procedures and triggers. Highly recommended!
In addition, Rabi Satter, one of the developers of the sample, has been blogging about the design decisions behind the "managed stored procedures" feature.
Rob Tiffany has a detailed walk through with plenty of screen shots.