If you have WordPress then there's a plugin that will do all of this for you in a couple of seconds. http://wordpress.org/extend/plugins/xml-sitemaps-for-videos/
You're really missing out if you're not on WordPress :s If you haven't got too many videos then manual building of a video sitemap isn't tough at all. Take a look at the source code for this video sitemap if you just want to copy and paste the structure: http://www.smemarketing.com/sitemap-video.xml