I'm a java developer but have dealt with a similar problem. I found that running a local database instance works well because of the speed (no data to send over the network) and because this way you don't have contention on your integration test database.
The general approach we use to solving this problem is to set up the build scripts to read the database connection strings from a configuration file, and then set up one file per environment. For example, one file for WORKSTATION, another for CI. Then you set up the build scripts to read the config file based on the specified environment. So builds running on a developer workstation run using the WORKSTATION configuration, and builds running in the CI environment use the CI settings.
It also helps tremendously if the entire database schema can be created from a single script, so each developer can quickly set up a local database for testing. You can even extend this concept to the next level and add the database setup script to the build process, so the entire database setup can be scripted to keep up with changes in the database schema.