Arduino Xbee communication

Dear,

I am using 5 arduino boards and 4 of them are connected to different sensors and the all send their data to the 5th board through the Xbee shield (https://www.cooking-hacks.com/media/cooking/images/documentation/tutorial_arduino_XBee_shield/XBee_big.png) and I am currently using the Serial to send data as the Communication -> Physical Pixel sketch example shows.

Is there any better way to send data and also to be able to distinguish the data received is from which sensor?

Is there any better way to send data

Better than what? Apple pie with ice cream? I don't think so.

and also to be able to distinguish the data received is from which sensor?

Are you using the XBees in stupid mode (AT) or intelligent (API) mode? If using AT mode, it is your responsibility to send intelligent data, including the ID of the sender. API mode already includes the sending XBee's address in the packet.

through the Xbee shield

That particular shield is the worst possible XBee shield available.