My guess is that getting the data from the database will be the bottleneck, and the time it takes to massage the data into XML will be insignificant compared to the time it takes to fetch the data from the database.

You don't say what database you're using, but if there's some bulk export command, you might be able to export the data into a flat file quickly, then massage the flat file into XML. Or export the data into a pipe, and have the process on the other end of the pipe massage the data into XML (but I've only seen one database that had this sort of bulk export capability).