using System.Xml;

＜中略＞

private void button1_Click(object sender, EventArgs e)
{
    saveFileDialog1.Filter = "テキスト(*.xml)|*.xml|" + "All files(*.*)|*.*";
    if (saveFileDialog1.ShowDialog() != DialogResult.OK)
    {
        return;
    }
    string fname = saveFileDialog1.FileName;
    XmlTextWriter xtw = null;
    try
    {
        string[] separator ={ "\r\n" };
        xtw = new XmlTextWriter(fname, Encoding.Default);
        //インデントするかどうか
        xtw.Formatting = Formatting.Indented;

        xtw.WriteStartDocument();//XML宣言
        xtw.WriteStartElement("html");//開始タグ
        xtw.WriteStartElement("head");//開始タグ
        xtw.WriteElementString("title", "テスト");//要素
        xtw.WriteEndElement();//headタグを閉じる
        xtw.WriteStartElement("body");//開始タグ
        foreach(string str in textBox1.Text.Split(separator,StringSplitOptions.None))
        {
            xtw.WriteElementString("p", str);//要素
        }
        xtw.WriteEndElement();//bodyタグを閉じる
        xtw.WriteEndElement();//htmlタグを閉じる
        xtw.WriteEndDocument();
    }
    catch (Exception ex)
    {
         MessageBox.Show(ex.Message);
    }
    finally
    {
         xtw.Close();
    }
}