I've been where you are and made a bunch of mistakes, so a couple of suggestions: I like this board for an XBee shieldhttp://www.ebay.com/itm/XBee-shield-for-Arduino-/220982906382?ssPageName=ADME:L:OC:US:3160
It lets you connect the serial input on the XBee to any pin on the arduino, and if you use a mega2560, you add a couple of wires and can get to any pin on it as well. It has leds, reset switch, and prototype area so you can mess around a bit on the board itself. You can piggy back another shield on top of it also.
As for sensors, visit Terry King's site at http://arduino-direct.com/sunshop/
, he has a bunch of sensors, shields, and most importantly, examples of using a lot of the stuff. Even though you already have some items, the articles and description of the devices will help you understand how this stuff works.
XBee, I didn't see where you mentioned which XBee you got, but I hope it's a Series 2 or 2.5 device. The series 1 are marginally easier to use, but they don't have anywhere near the capabilities of the later devices.
To get you started, decide what you want to do. Maybe measure the temperature in your main room. For this you need a temperature sensor to plug into the arduino. Then you will want to see what it's reading, so you'll probably want to get an LCD display. Then you'll want to do something else. As you decide what you want to monitor or control, you'll understand what you need to have to do it.
As for multiple sensors, yes you can have multiple sensors. The arduino can sample a number of them and then format a message to send through the XBee to another one hooked to some device you want to get the data to.
Basically, think about what you want to do, gather some information on doing it, then go have fun.