When you've moved to a new domain, using the rel="canonical" link element across domains can indeed be a tactic to help search engines understand where the preferred content now resides. It's a bit like saying, "DXB, this thread used to live here, but now it's over there, and that's the version I want you to consider the original." But here the deal, though: adding those to your sitemap can be a bit tricky since sitemaps are generally used to list URLs you want search engines to crawl and index. But if you're in a situation where your old domain's content is identical to your new domain's, and you're using 301 redirects as well, adding rel="canonical" links directly on your old domain's pages to point to the new domain can reinforce the signal that the new domain is the preferred location for this content.
However, the advice you've heard about putting cross-domain rel="canonical" links in the old domain's sitemap isn't standard practice or necessary. The primary tools to signal the move to a new domain are 301 redirects and updating your sitemap on the new domain to reflect the current URLs of your content. Make sure you're also updating any internal and external links to point to the new domain as much as possible.
Hope you got it.
Thanks!