Since the compose key is one of my favorite things in Linux, I was rather disappointed not to immediately find an obvious means of configuring it in Xfce. Not to worry, the slightly unintuitive but still easy method of configuring the compose key consists of adding the Keyboard Layouts widget to one of your panels.
As much as I love the portability, readability, and power of plain-text configuration, for just setting a compose key I don’t think it can get much better than the Gnome keyboard configuration dialog. The easiest alternative method would seem to be xmodmap, which should work in any desktop environment, not just Xfce. But of course it didn’t, because Xfce somehow overwrites those settings. For the sake of completeness, here’s what I tried in
clear Lock keysym Caps_Lock = Multi_key
It might be better to use to setxkbmap.
So there you have it. I haven’t yet figured out the ideal way of setting up my keyboard, but as long as it works I’m not too bothered yet.