Xelloss, at all times, carries with him a staff. It appears that the staff is made out of some sort of wood, but it's actually a part of Xelloss himself. Like magic, mazoku prefer to rely on their own abilities instead of weapons. To use an outside source would be creating doubt about himself (you can learn more about that on other sections of this site). Anyhow, since Xelloss' staff is just an extension of his being, it cannot be burned or broken. You can think of it as being a fifth limb.
Like his staff, the clothing that Xelloss wears is part of Xelloss himself. His clothing can't be ripped or burned. We always see Xelloss wearing this outfit, though there is one time where he wore a red dress. The dress seemed to fit him so well that it's possible that he simply changed his gender altogether, since mazoku don't really have a set gender or form. One may also notice that Xelloss carries a bag over his shoulder... could this be the proverbial "bag of tricks?" In any case, the only major change to Xelloss' outfit is the loss of the Demon Blood Talisman (more about them below).
Located on Xelloss' neck, belt and wrists, the Demon Blood Talismans were given to Xelloss by Lei Magnus himself. Lei Magnus was so impressed with Xelloss' deeds in the Kouma War that he gave the talismans to Xelloss as a token of his appreciation. Xelloss no longer owns these talismans after giving them to Lina in hopes of making her more confident in casting the Giga Slave, according to Mei-oh Phibrizo's plans. The talismans, when used, summon the power of all four Dark Lords (Rube Eye, Dark Star, Chaotic Blue and Death Fog) and can be used to boost the power of spells and increase the user's magical capacity.
Xelloss was in possession of Galveria, the most powerful of the five weapons created by Dark Star. Galveria is similar to Gourry's Hikari no Ken. It produces a blade of light that can damage even mazoku. Galveria takes skill and power to use... even Xelloss himself had a hard time aiming it. Xelloss kept Galveria until it was time for Lina to use it to destroy Dark Star.