How to import a SDF file
I solved my problem. GvS's advice gave the keywords to search for:http://bembengarifin-tech.blogspot.com/2008/08/generate-script-export-data-from-sql-ce.html
This is harder as it looks, because it doesn't seem to work with the SQL Server Import and Export wizard.
You could write a small program, that gets all data from your SDF file table by table/record by record, and then inserts them into the SQL database.