Sophos XG firewalls, at the time of writing, do not offer sufficient flexibility for configuring BGP via the web panel (namely, you cannot even set local preference or modify AS paths) and the official documentation for the CLI is scarce at best. Luckily, since 19.5 MR1, the underlying routing engine is the free and open source Free Range Routing/FRRouting, which has plenty of documentation. As of now, the version included with the 19.5 MR1 firmware is the 8.1 stable -- here are the docs.
You can enter the CLI configuration by logging in via SSH or via the web based console selecting Routing Configuration, then Configure Unicast Routing, then BGP Configuration.
Here are some sanitized extracts from a config i did.
router bgp 64512
! adding a neighbor
neighbor 10.0.0.2 remote-as 64513
neighbor 10.0.0.2 description Descriptive name
address-family ipv4 unicast
network 172.16.0.0/16
! setting prefix list and inbound/outbound route maps for a specific neighbor
neighbor 10.0.0.2 prefix-list PL_COMPANY_A_NET
neighbor 10.0.0.2 route-map RM_COMPANY_A:IN in
neighbor 10.0.0.2 route-map RM_COMPANY_A:OUT out
exit
exit
! setting a prefix list whitelist
ip prefix-list PL_COMPANY_A_NET seq 5 permit 172.17.0.0/16
ip prefix-list PL_COMPANY_A_NET seq 50 deny 0.0.0.0/0
! setting local preference for a neighbor (default is 100)
route-map RM_COMPANY_A:IN permit 10
match ip address prefix-list PL_COMPANY_A_NET
set local-preference 230
end
! setting as-path prepend for a neighbor
route-map RM_COMPANY_A:OUT permit 10
match ip address prefix-list RM_COMPANY_A_NET
set as-path prepend 64512
exit
Don't forget to "write memory" to save the configuration to disk. This is also necessary to show changes in the web panel.