You can give NetTopologySuite a try, they have a ShapeFileWriter class that will do the job with some little effort.
EDIT : Here is some sample code. I wrote it using NetTopologySuite source files. But there are NuGet packages.
namespace ConsoleApplication1
{
using GeoAPI.Geometries;
using NetTopologySuite.Features;
using NetTopologySuite.Geometries;
using NetTopologySuite.IO;
class Program
{
static void Main(string[] args)
{
FeatureCollection features = new FeatureCollection();
// Polygon 1
List<Coordinate> coords = new List<Coordinate>();
coords.Add(new Coordinate(0,0));
coords.Add(new Coordinate(0,10));
coords.Add(new Coordinate(10,10));
coords.Add(new Coordinate(10,0));
coords.Add(new Coordinate(0,0));
LinearRing ring = new LinearRing(coords.ToArray());
Polygon poly = new Polygon(ring);
// Polygon1 attributes
AttributesTable attr = new AttributesTable();
attr.AddAttribute("Column1", "HELLO");
attr.AddAttribute("Column2", "WORLD !");
Feature featureForPolygon = new Feature(poly, attr);
features.Add(featureForPolygon);
ShapefileDataWriter writer = new ShapefileDataWriter(@"%userprofile%\documents\outFile");
writer.Header = new DbaseFileHeader();
writer.Header.AddColumn("Column1", 'C', 10, 0);
writer.Header.AddColumn("Column2", 'C', 10, 0);
writer.Write(features.Features);
}
}
}
It's not straightforward as you have to manually convert each SqlGeometry. (Maybe NTS MsSqlSpatial would help...)
Give it a try and let me know.