I tried using Box2DX at first, I got strange assertion failures when creating polygon colliders.
I now use Farseer physics, which works like a charm!
It is based on box2d but has some additional features and is written in C#.
I just changed the source abit (replaced all namespace Microsoft.Xna.Framework with Farseer)
That way it has nothing to do with XNA anymore (not that it did, was just a namespace).
https://farseerphysics.codeplex.com/p.s. if anyone is interested, I wrote a SFML version of the debug view thing.
http://pastebin.com/L8jsKq9nJust use your render window instead of m_game.m_Window