The "Rambo" knife is a hollow handled knife where the compass is mounted on the inside of the cap. As for cutting apart your knife and mounting a compass inside, it's a 10 dollar answer to a one dollar question that can be answered for a quarter.
First, why must the compass be in the handle? it's not the best place to keep a compass. Knives can occasionally pick up magentic signatures which can throw the compass off, Buttcaps get used as hammers, using your compass means leaving your buttcap off the knife which can result in your stored items being lost or damaged.
You are better off with a compass that straps around your wrist... what you do is strap it across the sheath or keep it on a little pouch mounted on your sheath. As for protecting the compass, it's a fifty cent compass. It's damn near unbreakable, and you can mount it facing the sheath for an extra measure of protection.
Last but not least, when I venture into the woods, I've got two compasses and a GPS (military lensatic and large wrist compass) with me anyway so the addition mini-compass is not much help. Such a small compass is difficult to use and can only help with general navigation. Wandering into unfamiliar woods with just simple compass like that is begging for a Darwin award.