Xnews & Binaries
The most important thing to do if you want to use Xnews to leech binaries is to read the manual, especially this part.
Guides
Several people have written guides about effectively using Xnews to download from binary groups. Here are the ones of which I'm aware:
Setting up Xnews for Binaries
Sizer's setup guide is the most thorough document about using Xnews for binary leeching. Step by step, with screenshots, it takes you up to speed. If you read the whole thing, you won't be sorry.
A Primer for the Xnews Newsreader (archive.org copy)
PolarBear has written an excellent primer to help you quickly get started. It includes screenshots and an explanation of queuing.
Help4Newbies guide to binaries with Xnews (archive.org copy)
Another quick-start guide to using Xnews for getting binaries, this one is aimed at users who have never before used the binaries groups. It has screenshots, too. The link is to archive.org's last copy of the page, since the Help4Newbies site disappeared some time ago. There are some display problems, but it still works pretty well.
Download, Assemble, Decode, and Watch Farscape Spoilers for Dummies (archive.org copy)
Someone called savoia has a help page about how to get episodes of something called Farscape. It includes Xnews-specific help and will work for things not remotely connected to Farscape. It goes beyond Xnews, giving tips on dealing with .rar files, divx-encoded stuff, and more. The page is gone now — the link is to archive.org.
Using Xnews to Fill Incomplete Binaries from Different Servers (archive.org copy)
Jason Carr gives you clear instructions on how to have Xnews get fills from an alternate server, in case your primary server does not have very good completion. The instructions are for getting old radio shows, but will work for anything; who knows what evil lurks in the hearts of men?
alt.binaries.vcd tutorial on Xnews setup (archive.org copy)
Automan has put together this tutorial, which shows you how to set up Xnews for filling binaries from multiple servers. The tutorial is in the form of a slideshow, implemented as a Java™ applet.
Utilities
These are some utilities which may help you deal with binaries. Other apps may be found on the apps page.
Murray Peterson's Utilities
When downloading, Xnews will use as much bandwidth as it can, which can be annoying if you need some bandwidth for other tasks. Murray has written a proxy which allows you to control the bandwidth used. The proxy and his other useful utilities are linked at the bottom of his page, but you should also have a look at his excellent adventure game reviews.
XnewsQueue
Xnews doesn't natively support NZB files. If you'd like to use NZB files with Xnews, this utility is what you want. Update: Xnews does now support exporting NZB files. See the change log for more info.
Snooze (archive.org copy)
Howe Park's program Snooze can help you find the posts you're interested in. It also can help with managing NZBs.