What you're looking for is something that will give you 3V even when the XBee transmits. That usually means a 3V regulator and a couple of caps. Take a look here: http://www.ladyada.net/images/xbee/xbee11sch.png
The power supply is in the upper left corner, now all you have to do is choose the regulator. Do a little checking on the specs for the XBee and anything else you may run on the same little board and then get a regulator that supplies can supply more than that. The reason you use the vin pin on the arduino is to keep from overloading the +5 regulator the arduino uses.
The XBee's pins are 5V tolerant, so you can hook directly to them. There are some schematics out there that show voltage dividers and such to connect it into the arduino, but I have a couple that are hooked directly in with no problems, ever. I don't know about some of the knock offs though. Anyway on the schematic that I pointed you to, there is a nice little buffer chip shown that is a great way to hook them up. I use the buffer chip on things that may be put in extreme environments because operating in fringe zones at 150F might not be a good idea.