This is what I came up with. It does essentially the same as your program, but it's a little bit shorter. Notice that I dropped the close altogether, because open automatically closes the file handle if it was previously opened (see perlopentut -- I wouldn't consider this a good programming practice, but I'm assuming this is a one-shot program here), so you don't have to keep track of whether file is open. Also, you don't need to read the whole file in memory at once.

use strict;
my $n="0000";
while (<>) {
  if (/^<\?xml version/) {
    open OF, ">outfile_$n.xml" or die "open: $!\n";
    $n++;
  }
  print OF $_;
}
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--ZZamboni