Install them by untarring them into the right place. On startup XEmacs will find them, set up the load path correctly, install autoloads, etc, etc. On Startup XEmacs looks for packages in so called package hierarchies. These can be specified by the 'package-path' parameter to the 'configure' script. However by default there are three system wide hierarchies.
Normal packages go here.
All at once, using the 'Sumo Tarball'. Automatically, using the package tools from XEmacs. Those with little time, cheap connections and plenty of disk space can install all packages at once using the sumo tarballs. They are called 'Sumo Tarballs' for good reason. As the Sumo tarballs are not regenerated as often as the individual packages, it is recommended that you use the automatic package tools afterwards to pick up any recent updates.