In XFCE, this is a little more cumbersome than Gnome, since there isn’t a graphical interface for
setxkbmap, but these two commands will swap the Caps lock for a compose key:
To make this active at login, you can add two entries to your “Session and Startup” -> “Application Autostart” available under the Settings Manager. I’ve named mine “compose1” and “compose2”, each containing one of the above commands. Now enjoy all those en-dashes you’ll surely be typing.