How do I form an XML string from the APEX queries?

How do I form an XML data string from the APEX queries ?

Any particular class I should be using ?

Apex has a Class called XmlStreamWriter for constructing XML document. Refer the documentation at - XmlStreamWriter Class

You can use XmlStreamWriter (as suggested above) or XmlDom.cls (via Ron Hess) or TG_XmlDom.cls (Dom Library based on Spring'11 Apex Dom Classes)