Do you really need it to be in CDATA, or do you just want to get the text in there in a way which won't require extra escaping in your code?
InnerText performs whatever escaping is required, so generally I'd just use
xnode.InnerText = Convert.ToString(sqlReader["story_status"]);
... but if you really want a CDATA node, you can create one yourself as per Nekresh's answer.