I can only advise on Series 2 XBees, but I have done several modules where I've taken off the wire antenna and replaced with a UFL connector - it would be easier still to do an SMA type.
You already have the pads on the board for either connector.
If you choose to remove the wire antenna, you will most certainly null and void any warranty. If you have a dead XBee, practice on that.
Its a largish plated through hole so you need plenty of heat. Strip the insulation off the wire antenna, use a blob of solder on the iron for good contact and when you see the joint molten, very carefully pull out the antenna. If you are lucky it will come out leaving the PTH intact. Doing a UFL is tricky owing to the size but I bought a few Hirose SMD UFL. For very small SMDs, use an SMD tacky flux like Chip Qwik. For cable and bulkhead connector, Microchip certainly do the UFL (Digikey, Farnell etc.)
Before doing anything, it's worth running over the existing pads to see what connects to what. Don't even contemplate doing your own UFL connectors