Sensitive ramping is generally the best option in XMPlay. Simple waveforms like sines or squares in particular are very suspectible to clicks just due to the nature of their waveform (in greatly simplified terms, stoping a sample creates an impulse when it goes from its current value to complete silence, and this impulse contains all frequencies at once, while a pure sine sinewave is exactly one frequency). Generally it is not defined how much ramping an IT replayer should apply to samples, so the amount of clicks you get will differ between various programs in general.
The best workaround might be to set the New Note Action for the most problematic instruments to Note Fade and use a very high fadeout value for that instrument (e.g. 8192, the highest possible value). This way you avoid relying on how the player implements note cuts and how much ramping it applies, because it will be forced to apply a soft fadeout instead.
