Step 5: Connect the Xbee to the arduino.
See the pinout in the image : the pins you have to wire are:
xbee pin 1: to Arduino's 3.3V
xbee pin 2: to Arduino Rx (digital pin 0)
xbee pin 3: to Arduino Tx (digital pin 1)
xbee pin 10: to Arduino ground
You can also get an xbee shield like this.