It really depends on how you're writing the data. If you're using DOM, consider XMLWriter. It's a bit faster and more streamlined.
If you're homebrewing your XML output, ensure that you aren't appending strings unnecessarily. For instance:
echo "<tag>" . $data . "</tag>"; // this is slower
echo '<tag>', $data, '</tag>'; // this is faster
The comma operator doesn't create new strings. Also to consider, single quoted strings are slightly faster than double quotes. There is no variable substitution to scan for. Normally, the difference is minimal, but in a tight loop you can definitely see it.
Depending on your data source and how you construct your XML, your processing might be the bottleneck. Try profiling with xdebug and seeing where your bottlenecks actually are.