I was hoping that someone would have tried to or had success in implementing it and would have knowledge of any pitfalls in using it.
You need to zip & load the package windows binaries in dataset & import it to the R environment.
You can follow the instructions over here. I couldn't import it for the latest version, so I simply downloaded the xgboost version from this experiment & loaded it to my saved datasets
This is for any generic packages which are not preloaded in the environment
The following is a list of experiments to publish R models as a web service
Hope this helps!
Edit: You can also simply change the R version to Microsoft Open R (current version 3.2.2) and you can import xgboost as any common library