If you don't have curl installed (e.g. Windows machine), simply type the link:
https://{your username}:{your password}@api.del.icio.us/v1/posts/all
on your address bar, and use "Save As" to store the resulting XML file. If you see just a blank page (e.g. in Chrome), select "View Source" first, then save the text.
If your security setting blocks using the http://login:pwd@... format, just login to the site and use the link without the login info.
(You can also use wget instead of curl as an alternative.)
Wouldn't be neat that somebody offered to backup this information? They can have something like "donate your bookmarks" and I'll upload my full export.