Installing applications on XBMC Live is actually much easier than you might think. It does require bashing out some code on a shell prompt, but it's relatively easy. You can access the shell via two methods: directly from the XBMC-live machine or remotely via SSH. See below for the details on both methods.
Before I start the instructions on how to install, I'd like to give a plug for two other applications which pair up perfectly with SABnzbd: NewzBook and SickBeard. NewzBook is an application I wrote for managing my downloads and files remotely. (install instructions | info) NewzBook includes a mobile friendly website that allows you to search for content and start downloading it remotely -- it also includes a web based media player and file manager. SickBeard is an amazing PVR app written by someone else and it heavily simplifies my life. (install instructions | info) Simply tell SickBeard what shows you want to watch and it will automatically go out and search the major indexers and download new versions of the TV shows as they come out. SickBeard can also index all your content locally so it can then download updated / better versions as they come available -- for example, you might have a few episodes in SD quality and you can have SickBeard automatically check for HD versions.