I just switched back from Windows to OS X, and I was having a hard time trying to figure out how to have the OS always open XML and OPML files with SubEthaEdit.
After futzing around, I finally figured it out.
Select a file with the extension you want to set the program for. Right click (or ctrl-click) and select Get Info. In the Open with section, select the program that you want to open files of the specified extension, and then click the Change All... button.
This will set it where OS X always opens files with the specified extension with the program you selected.