using SetValue method in XML

I have the following XML:

<?xml version="1.0" encoding="UTF-8"?>
   <TRANSACTION>
    <FIELDS>
        <FIELD KEY="first_name"></FIELD>
        <FIELD KEY="last_name"></FIELD>
        <FIELD KEY="state"></FIELD>
    </FIELDS>
   </TRANSACTION>

Using C# I am using XDocument.Parse to create a var and trying to update it with user-entered values via the XDocument, SetValue() method (so the input data is normalized) but I'm having a challenge in trying to traverse the schema. I'd like to have the result to look like:

<?xml version="1.0" encoding="UTF-8"?>
   <TRANSACTION>
    <FIELDS>
        <FIELD KEY="first_name">John</FIELD>
        <FIELD KEY="last_name">Doe</FIELD>
        <FIELD KEY="state">CA</FIELD>
    </FIELDS>
   </TRANSACTION>

Any suggestions are appreciated. Thanks