Presizing collections can dramatically** improve performance
Lance's blog entry Best Practice: Set Minimum Capacity holds true for the .NET Compact Framework too. This advice is also Scott Holden's (Scott is the .NET Compact Framework team Development Lead) number one tip for improving performance.
When working with DataSets use the DataTable.MinimumCapacity property whenever possible. Look for similar properties on other collection classes, for example ArrayList.Capacity.
With all performance work you should test out techniques to see how they work in your particular situation. For information on measuring performance check out this Box and Fox MSDN article:
Developing Well Performing .NET Compact Framework Applications: Prerequisite #1 - Measuring Performance
**Your mileage may vary depending on your particular situation, but for the most part presizing your collections should help with performance.