No, don’t worry, .xmp files are extremely tiny, only 1-2 KB apiece, compared to 15-20 MB (15,000-20,000 KB) for a RAW file, the .xmp files don’t take enough space to even worry about. Your catalog is a much larger file, although if you compress it with 7zip, it brings it down to just a few MB. It’s still a good idea to back up your catalog, but in my opinion, it’s a good idea to do the .xmp thing too.
.xmp files are basically just metadata files, and as such, they are used (and read) by all sorts of software. It’s basically a non-destructive way to add info about the file. If the software overwrote the original file to write it’s info in the EXIF every time, there would be a much larger chance of your file getting corrupted during all the read/write cycles.