If you just want to build a *.xap file, then click on “Build\Build Solution” from Visual Studio’s menu. That will build the app without deploying it to a device or emulator. The *.xap file is typically outputted under your project’s “bin” directory.
Also note that even though clicking the “>” toolbar button will cause a deployment failure due to a missing WP8 device/emulator, it’ll still do the “Build Solution” step up above and compile/output a *.xap file under your “bin” directory as well.
And if you look at the documentation in the link below, you need to build for “ARM” when building for a device. Building for “x86” is for testing purposes only via the WP8 emulator.