My opinion is that you should use SQLite (or another appropriate embedded database) anytime you don't need a pure-text file format. Note, this is a pretty big exception. There are a lot of scenarios that require, or are benefited by, pure-text file formats.
As far as overhead goes, SQLite compiles to something like 250 k with normal flags. Many XML parsing libraries are larger than SQLite. You get no concurrency gains using XML. The SQLite binary file format is going to support much more efficient writes (largely because you can't append to the end of a well-formatted XML file). And even reading data, most of which I assume is fairly random access, is going to be faster using SQLite.
And to top it all off, you get access to the benefits of SQL like transactions and indexes.
Edit: Forgot to mention. One benefit of SQLite (as opposed to many databases) is that it allows any type in any row in any column. Basically, with SQLite you get the same freedom you have with XML in terms of datatypes. This also means that you don't have to worry about putting limits on text columns.
