This isn't supported by default.
The *by the book way* of doing this doesn't work because of something that is changed in the DNN base page class (got that statement from someones blog)
I gave up trying to get it working when I discovered the above, I never bothered to try again, despite the fact that it is probably verry easy to adapt to the dnn way of doing things.
That's all I can tell you about this
in case you are just looking to shrink page sizes, I can recommend the blowery http compression module (that does work out of the box with dnn)
http://www.purplebox.be/