I use XGWorks to write all my XG midi stuff. Its the only sequencer that has the ability to control ALL XG parameters (without any plugins or 3rd party software). I don't care for its audio, so after Ive written all the midi stuff, I open the midi up in Cakewalk and finish all the audio there. works great... If you don't have version 3, I highly recommend it as it has alot of added functionality. If you do have version 3, make sure you get the 3.05 update at the Yamaha site.
DudeManCentral