I know Xbee's Series 2 have analog inputs that can bee used for the LM35. Instead of soldering on the Xbee I think I need and Xbee shield to use it as a breadboard. Correct?
Do i also need an arduino on the collecting point?
No. The XBee can collect and broadcast data from the LM35.
I'm not sure how easy/difficult it is, on the collector node, to determine which XBee the sensor reading came from, without an Arduino to add data to the message being sent.
Keep in mind that the XBee will only be sending the raw sensor reading, NOT a temperature.