I have defined a xml layout with the DatePicker widget as follows:
The picker take the date format chosen by the user, which means you don't really have to format it, as probably the user enjoyes the most to see the format he's used to.
I've just tested the HelloDatePicker tutorial and in my phone, I have the date in (dd/mm/yyyy) format, so the picker shows the same format; in emulator, I've put the date in mm/dd/yyyy format, so the picker displays the same.
According to this answer there is no method to set the display format.