Making sure the file complies with the XML spec can help...
If you haven't got things like <?xml to deal with all through the file it's easy: use a new (otherwise unused) tag to wrap everything thing up to make one XML document and read that.
<thingy>
...
</thingy>
<thingy>
...
</thingy>
<thingy>
...
</thingy>
becomes
<bunchofthingies>
<thingy>
...
</thingy>
<thingy>
...
</thingy>
<thingy>
...
</thingy>
</bunchofthingies>
If there are <?xml ... bits all through, you can read the file in as a single string, break it on those bits, and read each bit separately.