Reading managed PDBs is a common request, and the PDB-->XML sample does that nicely. I've had a lot of people asking me about how to write a PDB file (eg, an XML-->PDB tool). Part of the problem is that the managed wrappers across the symbol writer interfaces have some shortcomings.
The good news is that Nick Hertl is currently writing a great sample on top of the managed MDbg wrappers to produce managed PDB from an XML file. It involves several changes to the wrappers. Once this is finished, it should answer a lot of people's questions about symbol writing and we'll definitely release it as a sample.
[Update: 12/1/06] It's released here.