I'm guessing you are planning on linking using the quicktimes from FCP in the Inferno?
Basically, an XML works much like an OMF or an EDL. You can use it like an EDL and recapture all the material (have to be carful, because it will try and recapture the WHOLE master clip from FCP), or you can relink to the original media from FCP. If you go the recapture route, then you have to make sure you use an approved Quicktime codec, like uncompressed, or the Blackmagic codecs.
So, depending or the project it can be easier to just recapture, or to drag the media over.
What I usually do, when sending a project from FCP to the Smoke is this:
Take your final sequence in FCP, use media manager to copy the master clips to a new folder. Drag the XML and the media folder to where the Smoke can grab it. Import the XML on the Smoke, and hit Relink. Usually works...