It is not possible to use the import / export wizard to easily move data from SQL Server 2005/2008 to SQL Server Compact.
However, I found an example of a stored procedure from this article Generating INSERT statements in SQL Server by Sumit Amar on CodeProject. The procedure can be used to generate insert statements for each row in a table. You can then apply these insert statements to a SQL Compact database using SQL Server Management Studio.
I modified the procedure to add a semicolon at the beginning, so you can run multiple statements from a SQL Management Studio window.
I have used this method to easily create data within a SQL Compact database. I have used it for tables with up to around 100,000 rows, but much more than that, and it would take a long time to cut/paste and run the statements. .
Create InsertGenerator Stored Procedure
CREATE PROCEDURE ...