RN-XV is not directly comparable with ZigBee module which just gives you serial connection without a cable. It's a WiFi module that allows TCP/IP connectivity. So to have a connection between two Arduinos you have to configure one of them to be the server (waiting for incoming connections) and the other to be a client (connecting to the server).
Google for the term "WiFly Arduino library" and you'll find a bunch of libraries for this chipset. Most of them support both roles (server and client) and most do their job reliably. Choose one and have a look at the examples.