gnurf,
As far as i know thatīs not possible to create in just one step.
Thatīs one of the improvements i would like to see in the blend tool. Illustrator already do this. Basically we would be able to select 2 or more shapes click on a "new blend all button" and Xara will calculate all the intermediate steps between the various shapes.
Maybe someone at Xara take a look at this thread who knows... This shouldnīt be too complicated to implement (i think).