I have 12 Volts 2.5 amp battery. I want to convert it to 12 Volt 800 mA battery, so that I can use it with Arduino Board along with Xbee Pro Modules.
Please somebody guide me.
You can't just arbitrarily lop off capacity. The important thing here is the 12 volts. Just because a battery CAN supply more amps doesn't mean it will.
You mean 2.5Ah not 2.5A and 800mAh not 800mA ? Capacity (charge) is not current.
The easiest way to reduce the capacity of a lead-acid battery is to over-discharge (just once will wreck it). 
Don't not over charge the battery like MarkT said, Outofoptions has it right. The battery capacity (amp hours Ah) is how many amps the battery can put out for one hour before it goes dead. Therefor a 12v 2.5Ah battery will last one hour if you pull 2.5A of continuous current from it, but if you're only pulling 800mA form it, it will last 37.5 hours. I hope this helps.
Are you sure about those numbers ?
800mAh is 0.8 Ah, doesn't that mean a 2.5 Ah will last about 3 times longer ?
MAS3, I believe the OP is wanting a battery to use with his/her arduino and thinks it needs to be limited to 800mAh but I pointed out that using a 2.5mAh battery will work and last longer if you're only drawing 800mA.
magruder13:
Don't not over charge the battery like MarkT said, Outofoptions has it right. The battery capacity (amp hours Ah) is how many amps the battery can put out for one hour before it goes dead. Therefor a 12v 2.5Ah battery will last one hour if you pull 2.5A of continuous current from it, but if you're only pulling 800mA form it, it will last 37.5 hours. I hope this helps.
Actually no, most measured capacities are measured at the 10 hour rate - a 2.5Ah battery will put out 0.25A for 10 hours. At
higher discharge rates capacity typically decreases for most battery chemistries.