I presume you understand and have set up "devices" and "activities"? Activities are really important to get the best out of the Harmony remotes, as a lot of the stuff you'd normally want to address with macros is handled automatically when you switch activities (turning things on/off, switching inputs etc.).

You need to be changing buttons. For each device that's in "settings" and for activities that's in "customize buttons". Your "menus" are in "additional buttons". Nopt the "add a sequence" button at the bottom. Once you have created a sequence, that sequence can then be assigned to a button (hard button or "additional" soft button).

...and there isn't any local XML as all the config is pumped up the line to your account on Logitech's servers - even with the desktop software.