This is isn't a progress post as such, it's actually a quick howto for anyone else who's trying to optimise a D3DVertexBuffer and D3DIndexBuffer and is not using D3DX.

The short answer is one has to use D3DX - but it's not as bad as it sounds. The gist of it is too call OptimizeInplace on a ID3DXMesh. The code below shows how to copy an existing vertex buffer and index buffer into the ID3DXMesh, optimise it and then copy them back again.

ID3DXMesh* pXMesh;
void* pvDestIndexBuffer;
void* pvDestVertexBuffer;
void* pvSrcIndexBuffer = The pointer .Lock() gave you;
void* pvSrcVertexBuffer = The pointer .Lock() gave you;
DWORD* pvAdjacency;

D3DXCreateMeshFVF(iNumTriangles, iNumIndicies, D3DXMESH_SYSTEMMEM, Your FVF here, lpD3DDevice, &pXMesh);

iVertSize = pXMesh->GetNumBytesPerVertex();

pXMesh->LockIndexBuffer(D3DLOCK_NO_DIRTY_UPDATE, &pvDestBaseIndexBuffer);
pXMesh->LockVertexBuffer(D3DLOCK_NO_DIRTY_UPDATE, &pvDestVertexBuffer);
memcpy(pvDestVertexBuffer, pvSrcVertexBuffer, iVertexSize * iNumVerticies);
memcpy(pvDestIndexBuffer, pvSrcIndexBuffer, sizeof(WORD) * iNumVerticies);

Start interesting bit here
pvAdjacency = (DWORD*)malloc(iNumTriangles * 3 * sizeof(DWORD));
pXMesh->GenerateAdjacency(0.0f, pvAdjacency);
pXMesh->OptimizeInplace(D3DXMESHOPT_VERTEXCACHE | D3DXMESHOPT_DONOTSPLIT, pvAdjacency, NULL, NULL, NULL);
free(pvAdjacency);
End interesting bit

memcpy(pvSrcIndexBuffer, pvDestIndexBuffer, sizeof(WORD) * iNumVertices);
memcpy(pvSrcVertexBuffer, pvDestVertexBuffer, iVertexSize * iNumVerticies);
.Unlock() your buffers

The bad news is that somewhere in typing that I got confused between the number of vertices and the number of indicies but it's not too difficult to work out which is which. They're all called iNumVerticies here.

Obviously for 32 bit indicies one needs to use sizeof(DWORD) instead of sizeof(WORD).

Later!