I've added this line to nant build script instead of adding a step to jenkins:
formatter type="Xml" outputdir="${main-directory}\BuildResults\" usefile="true" extension=".xml"/>
Making it this:
<target name="build" description="Build Solution and run tests">
<echo message="Building the release configuration" />
<exec program="${msbuild}" commandline='"${my-solution}" /v:m /nologo /property:WarningLevel=0 /t:Rebuild /p:Configuration="Release" /p:Platform="Any CPU"' />
<echo message="Running unit tests" />
<nunit2>
<formatter type="Plain" />
<formatter type="Xml" outputdir="${main-directory}\BuildResults\" usefile="true" extension=".xml"/>
<test assemblyname="${main-directory}\Projects\MyUnitTests\bin\MyUnitTests.dll">
</test>
</nunit2>
</target>