Oh sure I was able to animate from the
XNA GSE Integration for XSI tutorial. I got a lot of useful ideas from it as well. I have also used Dan Water's guitar matey tutorial which was helpful.
If you are able to see animation in XSI but not in your XNA project, the most likely culprit is the shader. If you do not use the XSI default vertex shader your model will not use the bone weights to animate the mesh from your key-frames. The default vertex shader can be found in Softimage\XSI_6_Mod_Tool\Addons\XNAGSE\Data\XNA_SAMPLES\FX\xsi_defaultvs.hlsl. Most of the other shaders used in that folder include it in their source. For instance if you use the fx phong shader there it should animate fine.
Another thing you should consider is setting neutral pose and/or freezing all transforms on your skeleton in its default pose and your mesh in its default position. Otherwise if you move things around, they look fine in XSI but they will be messed up in XNA because XNA doesn't uses the command stack(used for undo) that XSI uses when it animates with things that have been modified. You can do this by having your skeleton/mesh selected and clicking on the transforms tab on the right and it will bring up the menu for reseting transforms, setting neutral poses and freezing transforms.
