I am currently in the preparation phase for a new project that will be developed with .NET Compact Framework (2.0 or 3.5, we\'ll see) and will run on a custom Windows CE 6 h
Generally I create 2 projects one for desktop and one for CF. The desktop version is a desktop exe that just references CF .dlls (this is fine). Obviously you'll need to push your main app into librarys and make your actual .exe just a very light wrapper (but this is quite nice design anyway)
It's not actually running on the CF but the FF so there are a few compatability issues you may notice in a difference of the implementations.
The other option is to use the debugging option in Visual Studio to "attach to process". That way you can run the app by double clicking and then just attach to that process.