Can somebody please explain to me how to sign message with Xapo wallet?
You can't. I highly recommend you to use a desktop(or mobile) wallet. If you want use an online wallet, use Blockchain.info. Other online wallets are insecure.
But I need the address on my Xapo wallet to sign a message
btw, why is other online wallets beside Blockchain.info are insecure?
Also, the reason online wallets are considered insecure is that you have to share private key with third party (think of you sharing your home key). Only blockchain.info stores private key in your device (they encrypt your private key on your computer and then upload to server, so you still have to trust bc.info to encrypt your key), that's why MZ suggested you use bc.info (or desktop wallet).