Hi, guys and PJ especially, as I am going to target your setup.
The thing looks pretty straightforward, but I wanted to double-check in order to not brick nrf52840DK.
As per below tech article we can use DK to program external boards: Technical Documentation
I was curious on any additional set-ups (physical, like switches position changes or software like flags changes) made to DK in order to correctly work with XIAO nrf52840.
As I understand this line:
Make sure the voltage level of the external board matches the VDD of the nRF52840 DK.
The VDD, or driving voltage, of the two boards should be identical. The VDD of XIAO is 5V, as I understand (though internally I believe the chip is somehow uses 3V). And the DK is 3V, when powered from USB.
So, the first question: what should we do in order to make VDD of both boards identical? Are they already maybe?
The other question is: using the P19 Debug port, should XIAO be powered with its own power source, e.g., via the USB?
SWD from Xiao DEV board to DK and the VDD connection makes it go. 
PJ 