It's easier than you'd think… When you use the SQL Server 2008 CREATE EVENT SESSION DDL statement with extended events, you specify:

Events to be captured (e.g. sqlserver.error_reported)
Actions to be fired to add more information (e.g. sqlserver.sql_text)
Predicates for conditional capture (e.g. where sqlserver.error_reported.error = 547)
Event target to collect the events (e.g. package0.ring_buffer)
Addtional options (e.g. MAX_MEMORY)

In general, the way you look for events, actions, predicates, etc to use is to query against the metadata views:

select p.name + '.' + o.name as [Full Name],
       o.description s [Description]
from sys.dm_xe_objects o
join sys.dm_xe_packages p on o.package_guid = p.guid
— @type can be 'event', 'action', etc
where o.object_type = @type order by p.name, o.name

Two of the actions listed have to do with activity (causality): package0.attach_activity_id and package0.attach_activity_id_xfer. In addition there is an option TRACE_CAUSALITY. I thought you'd have to set the TRACE_CAUSALITY option and add the actions to collect activity information. But attempting to add either action produced an error.

It's easier than that. Simply turning on the TRACE_CAUSALITY option is enough. The actions can't be specified in CREATE EVENT SESSION (or ALTER EVENT SESSION) because they are for internal use. The activity_ids show up at the target without explicitly naming the actions.