I didn't use SQL CE 3.5 for Home windows Mobile as I have to include some binaries of SQL CE 3.5 (getting size > 3 Megabytes) during my application setup.

Now, I'm developing for Home windows Phone 7. With Mango realease, we've support for Local Database. Do we have to include any binary that increases how big final application? If so, what's the footprint of individuals binaries?

A couple of useful articles about Local Database in Home windows Phone 7.1 Mango:

Local Database Overview for Windows Phone

Windows Phone Mango Local Database: mapping and database operations

Tthere shouldn't be have to include any other binaries.