GXGraphics performance

Go ahead and use it.

Just be aware that example implementation has some problems. It assumes certain things about hardware that just aren't true universally. One example is locking the display once for the entire appliction -- Some hardware needs to be locked each frame. It doesn't have good conversion or serialization code. The implementation's over-depenance on interop and marshalling also slow it down a bit.

Also, GAPI support on newer devices, especially 3D-accelerated and WM5 devices, is often worse than the GDI speed. Since GAPI is only QVGA, it also limits your potential for future growth.

In the end you will probably end up with a commercial library or your own complete rewrite of the example code.

FYI, GAPI is going away and you should migrate to DirectDraw for targeting Windows Mobile 5.0 and beyond.

Any other options for sound output?

I used GAPI or raw framebuffer access if available. I havent benchmarked it, but it works fine. I must add that I'm not updating the entire screen in every frame.
Maybe you should have a look at some libs, for example gapidraw or pockethal. I personally dont know much about these...

I tried FMOD and Hekkus for sound output. The former supports a lot more formats, but on simple WAV files I havent noticed any big difference. They both have a simple but useful API, and are free for private use.