Since there still seems to be a lot of interest in it, I've updated my RoundLine code and released it on CodePlex. Here are the major changes from earlier versions:

• Updated for XNA Game Studio 3.0
• Uses shader instancing for improved performance: over 20,000 lines per frame at 60fps on the Xbox 360
• Drawing code is in a separate file from interaction code (using partial classes), so you can easily skip the latter if you don't need it
• Miscellaneous cleanup
• A small demo app is included

I hope you find it useful!

-Mike