I just finished U4 last night using xu4. I was planning on picking up 4+5+6 today and attempting to transfer, but now I'm gonna wait and see if it pops up during the 17 day sale ;)
In any case, I believe I read that you can by using your party.sav file. Just remember that xu4 saves it's own states outside of your core Ultima 4 data files.
This faq should help you find the save files on your system: http://xu4.sourceforge.net/faq.html
Let me know how it goes!