Have a look at the database replication module in our Appstore. You have to define a domain model in Mendix by hand, but using this module you can easily map your external database on this domain model.
You say you want to use XML imports, does that mean you already have all the data in xml format? In that case it'd be easy, assuming you have a matching XSD.
As to pointing to an existing mysql database, that's currently not possible. It's really hard to setup such tools, as it's hard, if not impossible, to infer what the model should look like by looking at the database.
If you want to go that route you need to setup a java action to manually parse the database and insert the entries one by one.