|XP is just a number|
As someone else mentioned, you should get clarification from your boss as to what he means by "more project management".
What are the procedures and files you fill out before you get start coding.
As I'm sure you already know, the most important "procedure" or step is to fully understand what it is you're doing. Don't get bullied into jumping right into coding (whether by a boss, client or yourself). Think through what you need to do and how you're going to do it. Create any documentation that you think you'll need to make the project go smoothly. If that's UML diagrams, flow charts, pseudo code than just make sure you do them.
Of course a lot of clients will demand certain documents which you'll need to provide as well.
How do you get your clients involved so they know whats going on during the projects.
Well, you can approach this in a couple of different ways. The first would be monthly / weekly / daily phone calls to let them know how things are going. Always be as honest as possible with them. Remember, it's their money and they have a right to know where that money is going.
The second approach would be to create some type of status web site where they can view updated project plans, status documents, design documents, etc. While you could try to make this your sole method of getting them "involved", I'd actually combine both of the approaches I listed.
Since you're a really small shop, I'd suggested setting up a website that can easily allow the customer to view documents you've created (RDD, design docs, project plans, etc). We currently do this using a specific document naming convention and having a script parse the files in a certain directory to create the "Customer Status" site.
Another option which I've used in the past is to get the client onsite for a few days (or weeks if necessary). Talk to them, get to know their business...