I have not personally made such xenografts, but I would look at some related macrophage xenografts (like THP-1: Article T315 Decreases Acute Myeloid Leukemia Cell Viability through...
) and see if you can adapt the protocol as well. Otherwise, there are companies that might have the kind of background necessary for macrophage xenografting (e.g.: http://altogenlabs.com/pre-clinical-research-services/xenograft-animal-service-immunocompromised-nodscid-mice/) and you could contact them with more details and they could probably run the study for you.