I too have looked into this. I believe it is possible although I'm more curious about the stability of it.
Some reading/instructions:http://techblog.conglomer.net/sata-direct-local-disk-access-on-xenserver/
http://knowledgelayer.softlayer.com/procedure/add-hard-drive-citrix-xenserver
Might want to look at second link first as it explains how to add the hard drive to the host first, then the first link explains how to attach to a VM.
I haven't tried this yet. Am in the process of switching my file server around to create a viable XenServer so I can practice with spare hdds. Since you are a newbie with Xenserver like myself, I suggest you do the same :)
Hope this helps you, if not points you in the right direction. Let me know how you get on anyway.
Regards Jono