XML is good for storing data which is not completely structured and you typically want to exchange it with another application. I prefer to use a SQL database for data. XML is error prone as you can cause subtle errors due to typos or ommissions in the data itself. Some open source application frameworks use too many xml files for configuration, data, etc. I prefer to have it in SQL.
Since you ask for a rule of thumb, I would say that use XML based application data, configuration, etc if you are going to set it up once and not access/search it much. For active searches and updations, its best to go with SQL.
For example, a web server stores application data in a XML file and you dont really need to perform complex search, update the file. The web server starts, reads the xml file and thats that. So XML is perfect here. Suppose you use a framework like Struts. You need to use XML and the action configurations dont change much once the application is developed and deployed. So again, the XML file is a good way. Now if your Struts developed application allows extensive searches and updations, deletions, then SQL is the optimal way.
Offcourse, you will surely meet one or two developers in your organisation who will chant XML or SQL only and proclaim XML or SQL as the only way to go. Beware of such folks and do what 'feels' right for your application. Dont just follow a 'technology religion'.
Think of things like how often you need to update the data, how often you need to search the data. Then you will have your answer on what to use - XML or SQL.