I have used netting from fruit like oranges, if I were fragging. You will want to clean the netting really well in RO/DI. Take a small rock and a small piece of netting put your Xenia on the rock cover fairly tight with the net to hold in place then secure with a couple rubber bands. I've used this method for all soft corals that I've fragged as they attach to rock very quickly.
You don't want to use glue on xenia. Bridal veil netting, or other netting will work. You could also stick a toothpick through the stalk by the base and use floss or string to wrap it around a rock. With xenia you want the foot to attach on its own, not glue.
Loosely securing it to a small rock near the foot with a rubber band works well.. A word of caution Xenia can quickly become a nuisance once established especially the stalking variety, they also release a lot of nasty's into the water potentially aggravating nieghboring corals.