the simplest solution works like:[pre]
libname yourxm xml 'your.xml' ;
proc copy in= sashelp out= yourxm mt= data;
select class ;
libname yourxm clear ;[/pre]
You could create your data set directly in the xml library, but it seems more normal, to just copy them from wherever. For that, proc copy seems simplest.
The XML engine delivered with SAS8.2 is a bit basic, but exists. There is an improved version available for download from the http://support.sas.com/index.html website. (but that isn't the simplest solution, nor the "best" ;-)