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Hi,
I don't know programs that model directly on x files, but you can find lots of software that import/export this format.
3DStudio Max and Milkshape3d exports/imports x files.
Blender is free and export x models
Other like anim8r, is free and export in 3ds. In the DirectX9 sdk you can find a converter for 3ds to x files.
good luck!