Are you looking for the actual headlamp assembly or bulbs? The bulbs should be available at any auto parts store, but the actual headlamp assembly seems to be more tricky. The GM part numbers are GM2502316 (driver side) and GM2503316 (passenger side), but I can't seem to find them in stock at reputable parts sites. I usually shop at [http://www.rockauto.com/en/catalog/cadillac,2007,xlr,4.4l+v8+supercharged,1433657,body,headlamp+assembly,10762|RockAuto] for stuff like this, and I'd be willing to bet that they'll restock eventually. There do appear to be a couple listings on eBay if you'd like to go that route.
One thing to note is that all of the parts I've seen online are very pricy. Even though the XLR isn't a very common car, it may be a good idea to call up some of the local junkyards and see if they happen to have one of those cars that you can take the headlight assembly from. I've found that to be a great way to save money on otherwise expensive or hard-to-find parts.