as far as i know SQL Server compact 3.5 is not capable of storing SqlGeometry/SqlGeography data.
You can store the geometries as a binary blob (WKB) and use sharpmap converters to read them. I'd suggest you store the extents in a seperate column, so you can easily setup a QuadTree (just like the ShapeFile provider does) to enhance performance on spatial
You might want to consider using SharpMap.SqlServerSpatialObjects project to perform true intersection testing.
If you are not stuck on SqlServer Compact 3.5 SP2, you might want to use SharpMap's SpatiaLite (see www.gaia-gis.it/spatialite ) provider,.