Instead of using stored procedures, Extended Event traces are created using DDL. The example below shows a trace with both ring buffer and trace file targets, and a select from the 'sys.fn_xe_file_target_read_file' TVF to return XE trace data.
A ring-buffer target is useful if you don't need persistence and just want to keep the most recent events in memory. A file target allows you to specify a max file size and number of rollover files. I suggest a file target if you capture many events.
You can use SSMS Object Explorer to create a trace and then generate a script for your application needs.
CREATE EVENT SESSION [batch_and_rpc] ON SERVER
ADD EVENT sqlserver.rpc_starting(
WHERE ([sqlserver].[client_hostname]=N'ServerName')),
ADD EVENT sqlserver.rpc_completed(
WHERE ([sqlserver].[client_hostname]=N'ServerName')),
ADD EVENT sqlserver.sql_batch_starting(
WHERE ([sqlserver].[client_hostname]=N'ServerName')),
ADD EVENT sqlserver.sql_batch_completed(
WHERE ([sqlserver].[client_hostname]=N'ServerName'))
ADD TARGET package0.event_file(SET filename=N'C:\TraceFiles\batch_and_rpc.xel'),
ADD TARGET package0.ring_buffer
WITH (MAX_MEMORY=4096 KB,EVENT_RETENTION_MODE=ALLOW_SINGLE_EVENT_LOSS,MAX_DISPATCH_LATENCY=30 SECONDS,MAX_EVENT_SIZE=0 KB,MEMORY_PARTITION_MODE=NONE,TRACK_CAUSALITY=OFF,STARTUP_STATE=OFF)
GO
ALTER EVENT SESSION [batch_and_rpc] ON SERVER STATE = START;
GO
SELECT *
FROM sys.fn_xe_file_target_read_file('C:\TraceFiles\batch_and_rpc*.xel', null, null, null);
GO
To delete the XE session:
DROP EVENT SESSION [batch_and_rpc] ON SERVER;
You can also read XE data using objects in the Microsoft.SqlServer.XEvent namespace. Be aware that method is not well-documented, though. See http://blogs.msdn.com/b/extended_events/archive/2011/07/20/introducing-the-extended-events-reader.aspx.