Actually, the following is correct:

open FO, ">test.txt";
binmode FO, ":utf8";
print FO "\x{00b9}";
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If you see a strange character, then probably the program you're using to display your test file doesn't handle UTF-8 correctly, or must be told to do so.

I use to forget the correct syntax because I need them almost never. But a google search for "Perl unicode literals" reveals the nice article Perl Unicode Cookbook: Unicode Literals by Number by Tom Christiansen. That's how I did it right now.