There a few things that you will need to support this.
1) An JDBC driver that is XA capable (ie DB2, Oracle etc)
2) A *-ds.xml file that describes your XA datasource to the JBoss/JCA deployment layer.
3) An XA compliant JMS provider (ie JBossMQ, Sonice etc)
4) The appropriate MDB deployment describing your MDB's configured with the appropriate transactional attributes (ie REQUIRED) for your message consumption.
This is a fairly standard deployment in JBoss. Please have a look at the JBoss Wiki for further details:
For your XA DataSource