If your file system is NTFS, you can compress the files automatically by right clicking the DEM file, selecting Properties from the context menu, clicking the advanced button, and then checking the compress button.
If you put your DEMs in a subfolder, you can right click on that folder, as above, slect Apply, and then also choose to apply the changes to all files and subdirectories.
I did this and got about a 50% reduction in files sizes on the disk. (You can check this by just hitting Apply rather than OK when you compress, or right clicking for Properties after you compress the file(s).)