Don't. In general Alpha Xi Delta isn't super persnickety about stuff, but there isn't any sort of jewelry I can think of that would be boyfriend appropriate. I can't think of any scenario where this wouldn't either be creepy or weird. To be sure, you can contact FHQ and ask the question. If there is something appropriate, they'll suggest it.
If you want to include him in your sorority life, invite him to a formal, involve him in your philanthropy project (maybe you have a Xi Man competition at your school?), if appropriate, etc.. But I really think he was inquiring out of curiosity, not actual interest in wearing your letters. He would be seen by other guys as odd. It's just not the same as a girl getting jewelry from a guy. Really the only jewelry I can think of that a guy will wear based on a relationship is a wedding ring.
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