@martiko: I just paved my Mac and haven't reinstalled Parallels, yet. So, I can't give you the specific steps at the moment. But, I can say that when you insert an SD card into the built-in SD card slot on your Mac, it mounts as a disk in OS X. From that point on, sharing the SD card with Parallels is just like sharing any other disk that is mounted to your Mac. Perhaps Parallels help can walk you through the steps.
Alternatively, since I needed Windows to recognize the SD card reader (in order for the software I was using to see it), I tried plugging in an external USB-based card reader. That worked flawlessly. As soon as I plugged it in (with Parallels running), Parallels asked which operating system should get the device. I selected Windows, and all was well.
Hope that helps.