Hi Mat
Yes you do need to create a SDF (Compact database) and as far as i am aware there are a shortage of tools available to "port" (or convert) an existing SQL database into a compact database. You may need to create one from scratch.
Perhaps you could create a script of your existing database and use that to generate a compact database. The t-sql syntax is a little different so becareful there.
The connection string looks like this:
<add key="DatabaseKeyName" value="Data Source=c:\SqlCeDatabase.sdf" />
Also in case you are unaware there are some MS tools to help you work with SqlCe data from within Visual Studio.
These tools let you create a connection to a Compact Database from within the Server Explorer in VS.
http://www.microsoft.com/downloads/details.aspx?familyid=877C0ADC-0347-4A47-B842-58FB71D159AC&displaylang=enThere are also SqlCe Books Online downloads etc, i believe there are links to these contained on the page link above.
HTH
Darren