If I remember correctly there is an /etc/profile.d/scim.sh (and .csh) files. Makes those executable with:
chmod +x /etc/profile.d/scim.sh
The next time you restart your system, scim should be started with xfce. If it isn't, start it from the menu. You should get a scim tray icon then. By right clicking on it, you should be able to select the input mode (anthy?). You should also be able to toggle the scim bar by pressing ctrl-space. This is all from memory, so I could be missing something.