You can program your application to create a new UltraLite database if one cannot be detected at connection time. The application can then use SQL to create tables, indexes, foreign keys, and so on. Populating the database is then simply a question synchronizing with a consolidated database.
This option is not as ideal as other available database creation options: by adding all the additional database creation and SQL code, your application size can grow considerably. Nonetheless, this option can simplify deployment because you only need to deploy the application to the device. Additionally, in some pre-production development cycles, you may want to delete and reconstruct the database on your device for testing purposes.