var settings = new XmlWriterSettings{ ... initialization here };
using (var writer = XmlWriter.Create(outputFilename, settings)
{
    SqlCommand cmd = new SqlCommand(queryString, connection);
    SqlDataReader reader = cmd.ExecuteReader();
    while (reader.Read())
    {
        writer.WriteStartElement("record");
        writer.WriteElementString("field1", record[0].ToString());
        writer.WriteElementString("field2", record[1].ToString());
        writer.WriteEndElement();
    }
}