If all of your processing is going to be done on the device (reading from the XML file on the device then parsing the data on the device), then you will see no performance increase from threading your work.
These Windows Mobile devices only have a single processor, so for them to multithread means one process works for a while, then another process works for a while. You will never have simultaneous processes running at the same time.
On the other hand, if the data from your XML file were located on a remote server, you could call the data in chunks. As a chunk arrives, you could process that data in another thread while waiting on the next chunk of data to arrive in the main thread.
If all of this work is being done on one device, you will not have good luck with multithreading.
You can still display a progress bar (from 0 to NumberOfRecords) with a cancel button so the person waiting for the data collection to complete does not go insane with anticipation.