I just finished U4 using xu4 last night and it was great. The improvements to movement, command delays and reagent mixing made the game play much smoother.
However, I ran into one xu4 related snag during my quest for avatarhood so I figured I'd post it here to hopefully help others avoid the frustration.
xu4 has it's own save files for your progress. The common locations are listed at the bottom of this faq:
http://xu4.sourceforge.net/faq.html The reason I bring this up is that when I got to the 8th floor of Wrong the game kept freezing on me. After trying different things and looking online I finally circumvented the issue by copying my xu4 save files into the GOG U4 folder. I then ran the GOG U4 launcher, grabbed the stone, moved to the next dungeon, saved, and finally copied these more current save files over the xu4 ones. I had no issues completing the game using xu4 after that.
If that's at all confusing I'll try to elaborate more. Hope it helps at least one person avoid a headache.