Looking for ways to make batch insert work faster under OLE DB, I tried to fiddle a bit with the SQL CE 3.1 database properties. My first approach was to radically increase the maximum buffer size to 2 MB using the DBPROP_SSCE_MAXBUFFERSIZE property. The early experiments look promising with speed performance increases in the 50% range (yes, that much). I promise to come back to you with a better case in the form of an article where I will compare insertion performance under different scenarios and property settings.
For now, keep this in your mind: increasing the value of DBPROP_SSCE_MAXBUFFERSIZE may actually help your database perform better.