I'm not sure about how ConfigXpress exports individual PX Policies, but if you do an export of the entire environment, you can then extract the single policy from it.
In general, you need to have the <ims:ImsTemplate> tags at the beginning and end, and then any objects in between. In your case one managed object of type PX.
Here's an example of an XML with PX that I've recently imported
<?xml version="1.0" encoding="UTF-8"?>
<ims:ImsTemplate xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://imsenvironmentobjects/xsd imsconfig://schema/ImsEnvironmentObjects.xsd" xmlns:ims="http://imsenvironmentobjects/xsd" xmlns:imsrule="http://imsmemberrule/xsd" xmlns:imsscope="http://imsscoperule/xsd" xmlns:imschange="http://imschangeaction/xsd">
<ManagedObject type="POLICY XPRESS EXPORT" friendlyName="PX060.45_Terminate_User">
<Attribute name="friendlyName">PX060.45_Terminate_User</Attribute>
<Attribute name="enabled">true</Attribute>
...
</ManagedObject>
</ims:ImsTemplate>
Pearse