+1  A: 

Good Question.

You need some kind of project profile. Have a look in:

library\Zend\Tool\Project\Provider\Project.php

There is an section with an default config.

 protected function _getDefaultProfile()
    {
        $data = <<<EOS
<?xml version="1.0" encoding="UTF-8"?>
<projectProfile type="default" version="1.10">
    <projectDirectory>
        <projectProfileFile />
        <applicationDirectory>
            <apisDirectory enabled="false" />
            <configsDirectory>
                <applicationConfigFile type="ini" />

Last week there was an good VideoScreencast explaining how to create your own Zend Tool Providers, i think this can help.

Update:

I have checked the sourceCode, looks like the filename is not changeable.

class Zend_Tool_Project_Context_Zf_ApplicationConfigFile extends Zend_Tool_Project_Context_Filesystem_File
{

    /**
     * @var string
     */
    protected $_filesystemName = 'application.ini';

Was not able to found an method to set it to xml.

Introducing Zend Tool

ArneRie
Well actually, I already created a profile (in .zf/project/profiles) where I changed `<applicationConfigFile type="ini" />` into `<applicationConfigFile type="xml" />`. If I create a project using that named profile, then in the .zfproject.xml you see that it has picked up the correct XML, BUT it still generates an application.ini file, no application.xml... I updated the original post with the content of my profile.
wimvds
updated my post
ArneRie
I also had a look at the code. Basically you can provide a type, but this is currently simply ignored and the INI file support also seems to be hardcoded (see getAsZendConfig)...
wimvds