How do I quote a UTF-8 String Literal in Sqlite3

What language are you using? SQLite handles Unicode just fine, creating the literals in your hosting language is less obvious.

$ sqlite3 junk.sqlite
SQLite version 3.6.22
sqlite> create table names (id integer primary key, name string);
sqlite> insert into names values (null, 
    'î℉ yõù gѷЄ ΣϘГくטƏ UTF-8, it stores it');
sqlite> select * from names;
1|î℉ yõù gѷЄ ΣϘГくטƏ UTF-8, it stores it

SQLite doesn't have escape sequences. But your programming language probably does.

# in Python
db.execute("INSERT INTO MyTable(MyColumn) VALUES('\u00E9')")

or

db.execute("INSERT INTO MyTable(MyColumn) VALUES(?)", ['\u00E9'])

If for some reason you have to write a UTF-8 literal in pure SQL, you can do something like:

sqlite> SELECT CAST(X'C3A9' AS TEXT);
é

Edit: Since this answer was originally written, a CHAR function has been added to SQLite. So now, you could write

INSERT INTO MyTable(MyColumn) VALUES(CHAR(233))