Use the -J compression option for xz. And remember to man tar 🙂
tar cfJ <archive.tar.xz> <files>
Edit 2015-08-10:
If you’re passing the arguments to tar with dashes (ex: tar -cf as opposed to tar cf), then the -f option must come last, since it specifies the filename (thanks to @A-B-B for pointing that out!). In that case, the command looks like:
tar -cJf <archive.tar.xz> <files>