XNA is designed to compile using Visual Studio Express 2005 edition. Moreover, XNA does not use the same C# DirectX calls that were common in the 1.1 framework. So it is highly unlikely that you would be able to get them working together without some substantial work. One of the biggest problems would be the sound system. The current version of SGDK2 uses FMod for its sound support. (which I believe is a third-party sound library) XNA has its own pipeline for storing and playing back sounds, as well as its own tools for processing them. Of course, you don't have to actually use XNA's sound routines, I'm pretty sure you could create an XNA project that used FMod.
Hmmmm...I guess the first real step would be to change over most of the DirectX calls to be compatible with XNA's drawing routines. Thankfully enough, SGDK2 uses XML for its data storage. XML is vanilla. Pretty much anything can load XML data. XNA would be able to load SGDK2's stored information, no problem. I don't think you would need to port the editors over to XNA, just the game runtime. XNA is designed for game routines, not event-driven architecture. So it doesn't necessarily play nice with WinForms.
I think it is definitely worth looking into. XNA would be the easiest external platform to port it to, since they already have several things in common. (being programmed in the same language being the most significant) And SGDK2 would get a boost in features from XNA. Most notably, it would be possible to map the XBox 360 controller to your games. We're talking full analog stick support and everything, even rumble. And a lot of pixel effects and possible support for 3D rendered backgrounds. (you could use a draw-to-texture routine to map a 3D model to one of the layers)
