you can compress the textures to DXT while loading them from disk. Just set the format on the Filetexture to one of the DXT formats. With large textures, DXT usually provides massive improvements by reducing memory usage of textures. As joreg pointed out you can not compress rendertargets.
Note that JPG or PNG will compress material only on the disk, not in the video memory. DXT on the other side allows for compression on the video memory. Compared to JPG or PNG the compression on disk is worse, but DXT can be decoded without absolutely simple algorithms.
Note that DXT usually introduces rather visible artifacts when used with colored graphic material. Photographic imagery usually looks okay, when not inspected to close. So its worth understanding and trying.