Ira, cool micro mouse!
If your doing experiments with compasses, take a look at the Philips part KMZ51, it is much smaller than the Densmore part, you can make a compass using 2 of them set at 90 degrees, it will require 2 A/D channels from your micro controller, and 2 digital out puts. I know the KMZ51 is a bit harder to get your hands on than the Densmore part, however, they are much much much smaller. Great for mirco bots.
Also, your proximiter sensor looks kinda big, take a look at the QRD1114, they are small enough to use a bunch of them on your micro bot, they can also be configured to perform line following. You can find them at www.digikey.com, part #QRD1114-ND. Let me know if you are interested in knowing how to configure these for line following.

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