The first step is probably to work out what the XML format will look like,  
it could get quite involved when you get to adding actions to components.

If you don't want to use pure SAX, it might be preferable to use something  
like Castor (http://www.castor.org), which will allow you to map directly  
to your object model without going via the DOM representation.  It might  
be worth experimenting to see if you could map XML directly to Swing  
objects using a Castor mapping file that looks something like this:

<class name="javax.swing.JButton">
  <map-to xml="Button" />
  <field name="text">
    <bind-xml name="text" node="attribute" />
  </field>
</class>

This would map the following XML directly to a JButton object in your  
application:

<Button text="My Button" />

You might also want to take a look at Thinlet  
(http://thinlet.sourceforge.net/), it does something similar to want you  
are trying to achieve.

Dan.

...
This is a pretty good idea IMHO, and here I disagree with other posts in
this thread. The interest of doing this is that you have an
implementation-independent, abstract description of the UI, which can be
mapped to different technologies (e.g. java, DHTML, Tcl-Tk, C#...)
Actually, it is so good an idea that several persons have had it before, and
advanced proposals do exist :
USIXML : http://www.usixml.org
XUL: http://www.mozilla.org/projects/xul/

Sounds like you want to be using XUL. I find it very irritating when
Java GUIs of any complication are put inline in code. It makes them
harder to maintain and certainly harder to localize. Check out
http://luxor-xul.sourceforge.net/

Also, don't forget about the XMLEncoder that does a great job in serializing
a UI (or any bean for that matter) in XML and reloading it.
http://java.sun.com/j2se/1.4.2/docs/api/java/beans/XMLEncoder.html
Maybe what you need is already completely in the standard library !