I would recommend using wx.StandardPaths to determine where to store files of this sort in a cross-platform manner. There is a good demo in the wxPython demo. Or you can read about its API in the documentation.
There are lots of different ways to persist your information. You can use XML as you mentioned or any of the following:
- Python's pickle module would be really easy to use
- JSON
- sqlite
Or you could use wxPython's persistence manager as you mentioned. It really depends on which one you find easiest to use and how easy you want the list to be read and modified outside your UI.