Need help on SQL Express using file in /data

It's my understanding that since the Access providers are going away in .NET v2 that the SQL providers will be the default. However, and correct me if I'm wrong, they won't generate a database file for Membership, Profile, etc., the way that the Access provider did in the /data folder, right?

What is the procedure then to create a file-based SQL Express database for the same purpose? What does the connection string look like? The idea of an xcopy-able SQL database sure has me sold (it's plugged as a major feature of SQL Express), but the docs are a little thin at the moment. I have no problem specifying the SQL providers in web.config, but setting a connection string and creating the database are two areas I'm a little unclear on.