Visual Studio 2008 and SQL Server Management Studio don't support data and schema scripts for sql server ce 3.5. However, thanks to CodePlex, an open source community, you can down load an add-in for sql sever management studio 2008 express to support scripting for sql server compact 3.5 like other sql server editions:

The following menu items are added to the table context menu in Object Explorer by the add-in:
- Show Table Data (browse, sort, edit, import/export/delete images, refresh data)
- Script Table as CREATE, DROP, SELECT, INSERT, UPDATE, DELETE and INSERTs (data) to New Query Editor, Windows, File or Clipboard
- Import Data from CSV
- Rename

Personally I missed "Show Table Data" and "Rename' dearly. Now they are back together with powerful scripting functions and data import from CSV files. Moreover, I can "Script Database" and "Script Server Database" using the menu items added to the database context menu:

Download the add-in here.

Related:
SQL Server Management Studio 2008 add-ins:
SSMS 2008 Addin - Data Scripter allows you to generate INSERT statements for all values of a table easily. Just select Script
Data as from the context menu of the table and choose one of the options

- INSERT: Insert statements without column names are generated
- INSERT with column names
Download it now: SSMS 2008 Addin - Data Scripter

Full Text Manager allows you to manage your fulltext catalogs easily. It even works for SQL Server Express editions.

For more information, visit project page: http://www.codeplex.com/FulltextManager.

It seems that the script created got IDENTITY missing. You may need to add Identity manually.