can it be written directly or must be converted from other advanced models

What do you mean by "directly"?

Anyway, you can create your own .x files with no problems. The format is not closed, you can study the X File Format Reference and write .x files using a text editor or you can create your own exporter. There also is an API related to .x files, but I've never used it, so I don't know what it is about.

Or, of course, you can use the D3DX function D3DXSaveMeshToX - in this case you just create the mesh in memory and fill it with vertices/indices and then save it to an .x file.

http://www.andytather.co.uk/panda/directxmax_downloads.aspx