Apart from the XBee shield, there are several other options to hook into that module with its non-standard 2-mm connector.
The simplest is a little breakout board which brings things back to “normal” 2.54 mm PCB units:
Next up is AdaFruit’s adapter which connects to an FTDI cable or plugs into a breadboard:
Finally, there is the Xbee Explorer USB which ties it directly to a slave USB port:
The adapter is probably the most convenient to embed and to use stand-alone, since it does all the voltage regulation and conversion in a simple package.