Yes it can be done but it's not a single click process, though it doesn't require coding. However, note that in XSI you don't have access to all the features of mental ray through the interface. You have to hack .mi files (well, to code) to access such functions. You asked this question to XSI list, right? Bartek listed some of the things, in this particular case, that you can't access in XSI.
So the best way to do it is by using the Volume_effect node, connected in the Volume of the Material node. See how to use it here:
http://www.tomsporer.com/html/body\_shader\_...iption\_wax.html
http://www.tomsporer.com/html/body\_shader\_...ption\_blue.html
Unfortunaly, this leaves out all the Photon effects that you see in that Maya tutorial.
Hope this helps
Salutations - Cheers
Bernard Lebel