Did you take a look at the ParticlesGS sample in the DxSDK? If you don’t dependent on Dx9 it might be easier and faster to use the stream output instead of textures to store the state of the particles.
Edit: Alright, irrelevant for you because of XNA.
Thanks all the same..
And there is a 3D particle example for XNA in MSDN..but maybe it lacks some....extendability....?