From the command line I can easily create another pulseaudio sink and switch to that but I have not found a way how to do this using a GUI from the Xfce desktop.
In GNOME I use gnome-volume-control from audio settings to switch to another audio output sink.
Is there anything similar in Xfce?
Testing Xfce panel version 4.12.2: the volume indicator already has that feature. It is a pulseaudio plugin (xfce4-pulseaudio-plugin) for the Xfce panel.
The output device is listed under the main scroll given more than one sink is available; on mouse hover a list of available output devices is displayed.
So, no external application is needed for the purpose discussed here, although pavucontrol may be useful (especially given that Xfce has no specific audio settings like other desktops have).
Non-Xfce-specific tools can be also used like pasystray(PulseAudio System Tray), as explained here, similar to Sound Switcher Indicator, already mentioned under this question; pasystraydoesn't need a new PPA to be added.
