I don't think the SAS compass is worth what they're charging, but it just depends on whether or not you really want it or not <img src="/images/graemlins/wink.gif" alt="" />
I use a Stocker and Yale "waltham escape compass" that can be found in some US military survival kits.
It's a dry compass, not quite as small as the SAS compass but I like it <img src="/images/graemlins/smile.gif" alt="" />
(photo credits: don rearic -
http://www.donrearic.com/tropicalkit.htm <-- also the kit I got mine in)
Here it is next to a penny...
http://www.kitefarm.com/compass_museum/escape.htmApparently they made an even smaller one!
http://www.kitefarm.com/compass_museum/escape2.htmAnd smaller still!
http://www.kitefarm.com/compass_museum/eraser.htm