Converting data from non-XML formats to XML is not particularly difficult, but there are no magic bullets to do it for you. You just have to roll up your sleeves and write the code. Once you've parsed the input data and organized it in the form you want, outputting it as XML is not hard. However, parsing the non-XML input data can be quite a challenge.
Unless the data is truly flat (and real-world data very rarely is), you'll generally want to arrange your XML markup to indicate the hierarchy and structure of the data. There are many different ways to perform the conversion that differ primarily in where the work is done: at the beginning, middle, or end. Thus, there are three broad approaches. If you're extracting data from a relational database using JDBC, you may be able to make multiple SQL queries, possibly joining tables, so that the data that enters your program is already in more or less the form and order you want. Alternately, if the input is coming from flat files, you might read it into a flat structure such as a list or an array, and then use Java code to rearrange it in a more hierarchical structure such as a tree. Finally, you could read the data in the most naive format possible, write it out again as almost an XML-copy of the original structure, and then post-process the initial XML document with XSLT or XQuery to get the structure you want. All three approaches produce the same document in the end. The approach you choose will depend largely on your relative comfort with SQL, Java, and XSLT.