SAX is for reading XML documents, not writing them.
DOM on the other side is intended for creating a mapping between a structure in memory and an XML document.
If you already have your own data structure for your data in memory (that is much more convenient than DOM structure for your processing), creating a DOM data structure will mean to duplicate your data. Maybe that's not what you want if you have large data. In addition, you will have to create the DOM structure completely before you can write it to XML, doubling the memory size required for your application. Furthermore it will create latency in your processing.
I don't know about a library that would help writing an XML document, but if I was already using SAX, having my own data structure, I wouldn't bother with DOM.