Hmmm, not sure if you can. From what I know of xml, each plan will have to be in a separate file to be valid xml and to be readable.
Honestly, I've always either saved the xml to a file from the grid, or done a save-as on an execution plan.
Gail Shaw
Microsoft Certified Master: SQL Server, MVP, M.Sc (Comp Sci)
SQL In The Wild: Discussions on DB performance with occasional diversions into recoverability