something like a python's triple-quote in F# (or C#)?

As far as I know, there is no syntax corresponding to this in C# / F#. If you use @"str" then you have to replace quote with two quotes and if you just use "str" then you need to add backslash.

In any case, there is some encoding of ":

var str = @"allows
  multiline, but still need to encode "" as two chars";
var str = "need to use backslahs \" here";

However, the best thing to do when you need to embed large strings (such as XML data) into your application is probably to use .NET resources (or store the data somewhere else, depending on your application). Embedding large string literals in program is generally not very recommended. Also, there used to be a plugin for pasting XML as a tree that constructs XElement objects for C#, but I'm not sure whether it still exists.

Although, I would personally vote to add """ as known from Python to F# - it is very useful, especially for interactive scripting.