Yes, you can send GPS data directly through the XBee. The serial data sent to the XBee's DIN pin will be transmitted automatically. You don't need a computer to tell the XBee to transmit them.
Of course you'll need to make sure that the signal level is compatible with the XBee's 3.3V levels. I'm using a 5V GPS, and sending the signal through a small signal diode to the XBee's DIN pin, and it works just fine. I'm using the same circuit with a different device that reads a 5V altimeter signal into an XBee DIN pin: no problem. That one has been used in flight 7 times with no problems.
It looks to me as though your GPS will run from 3.3V, which would make everything much easier. I have separate supplies for the GPS and the XBee, but you could use a single one, provided you paid attention to the current requirements. Assuming it's an XBee Pro, you'll need 215 mA in transmit for the XBee, plus another 40 mA for the GPS: a 500 mA regulator should do you nicely.
I would power the GPS up at 3.3V and then make certain that you're getting 3.3V signals out the GPS' data out line. If you are, you should be good to go: send them to the XBee's DIN and they'll be transmitted.
Of course you'll want something (an Arduino?) on the receiving end to parse the data and pull out the parts you're interested in, but it's much easier to have the computer on the ground, right? Until you build the receiver, you can just connect an XBee to a terminal window to watch the NMEA strings come in, and you can capture them to a file if you want to play around with things like signal strength/loss.
I'm also happy owner of a EM406A and a Xbee and trying to achieve the same goal as you, Aadeesh
Never heard of signal diodes before and didn't find much useful for my understanding :-[
the only one i found is this one Diode Small Signal - 1N4148 form sparkfun
oh i just found out that i own a 1n4007 Diode ... is this the right thing?
I also have a XBee Explorer Regulated which I understand would take care of it.
Since I need the 5v stepup anyway for the gps module, I guess I can also use the 5v output for the explorer
am i right?
EDIT: I remember something like a voltage divider from school, will that work with it or is that useful for the digital signals?
The 1N4148 is a bad idea: it only drops the voltage by about .7V, which is still too high for 3.3V logic.
If the 3.3V chip is specified as "5V tolerant", you don't need the diode. If it's not, the diode isn't good enough to eliminate the risk, and you should go back to that vaguely-remembered lesson about voltage dividers.
A 2:3 ratio (say, a 2.2K and a 3.3K) will limit the logic "1" output to about 3V, which will make 3.3V logic happy without risking damage.