I agree with you: the best solution is to create a new column
ALTER TABLE yourTable ADD COLUMN newColumn DATETIME
(the SET DATEFORMAT statement doesn't exist in SQL Server Compact)
and copy data converting the format
UPDATE yourTable SET newColumn = CONVERT(datetime, oldColumn, 103)
For an in depth description of the SQL Server Compact commands look at http://technet.microsoft.com/en-us/library/ms173372.aspx