I found it ended up being easiest to just do a global search and replace for single backslashes to double backslashes in a text editor. I was worried it might escape some important stuff in the XML, so the following bit of PowerShell will tell you the XML tag that surrounded your backslashes.
$r = Select-String '<([^>]*)>.*?\\.*?\1' .\wordpress.2015-09-13.xml -AllMatches
$matches = $r | % { [PSCustomObject] @{ Tag = $_.Matches.Groups[1].Value; LineNumber = $_.LineNumber; Line = $_.Line } }
$matches
In my case, all (except one) were HTML tags from the post content itself.
PS> $matches | Foreach-Object Tag | Sort -Unique
/font
/SPAN
BR
content:encoded
div
font color="#000000"
FONT face="Courier New"
FONT face=Times color=#000000
LI
P
span style="color: "
span style="color: #000000"
SPAN style="COLOR: #006400"
span style="color: #cccc66; background-color: #012456"
SPAN style="COLOR: blue"
SPAN style="COLOR: green"
SPAN style="COLOR: maroon"
wp:comment_author
I took a look at the wp:comment_author post (somebody had backslashes in their name), and their name imported fine into that post.