Hi there,
SO , you can definitely do it, I have a posts or two on it with Pictures and setting used. You can use the NRF_connect Programmer connected to DK as well 
SWD from Xiao DEV board to DK and the VDD connection makes it go. 
You can tell which is the Target from the NRF_SDK hardware connection will show the Device REV xx check it out works GREAT!
HTH
GL 
PJ
