Apparently the only way to do this is by hand.
http://wpgarage.com/tips/6-things-moving-wordpress-blogs-different-host/
Lesson 2: Widgets are not preserved with an XML backup,<del> even with a full database backup</deL>
If you are using widgets somewhere in your blog, you will have to redo them one by one on your new blog if you use the XML backup. So take out a pencil and paper, and write down exactly what widgets you are using, what order they’re in, and any modifications or customizations that you made to them. Ok, you can use Word or Notepad if you want, but that’s about as technologically friendly as you can get.