How does baud rate affect power consumtion on a Xbee module?
Use the fastest bit-rate you can afford, so that the transmitter doesn't have to be switched on longer than necessary. Using lower bit-rates doesn't make any difference in power, but it will in energy, since it takes longer to transmit.  

It also helps to use a single transmission to send for instance 100 kB than to switch the device 10 times on and off to send each time a block of 10 kB. That's because the transmitter has a non-negligible settling time, and if you transmit in 10 blocks it would dissipate power during 10 times this settling time, otherwise just once.