In order to send AT commands to a remote device, a Coordinator must be in API mode while an End Device can be in either API or AT mode. Putting the Coordinator into API mode requires updating its firmware using a USB-Serial converter and a program called X-CTU (downloadable from digi.com). X-CTU requires Windows to run but it works fine in a VirtualBox, once you plumb through the serial device.
When X-CTU can see your device, read the modem parameters and firmware, change the function set to Coordinator API, and write the firmware back to the device. (If the firmware version on the chip does not support the Coordinator API function set, you will have to pick one which does. Unfortunately, as far as I can tell, the only way to do this is by trial and error: it seems that X-CTU will happily write firmware which doesn't run properly on the XBee. Luckily, Digi's technical support is excellent.)
To send an AT command to a remote device, it must be wrapped in a remote-AT command-frame addressed to the end device and transmitted to it via the coordinator. This is tricky! Eventually I found some Perl bindings which did the trick but before that I had some fun crafting the packets by hand, aided by a handy packet-checker. (That site also hosts a useful FAQ.)
The little script below shows how to set up the end device to read its sensors periodically and transmit them to the coordinator. This is attached to the machine on which this script runs, on a USB-Serial port. Received frames are written to the console.