By default you should already have your "Home" folder being shared, so you could just save files there and you will be able to access files inside the VM or from Mac OSX. If you want to choose another folder to share try this:
NOTE: I'm currently on Parallels 7, but hopefully this configuration is located in a similar place on Parallels 6.
1) In your VM list right-click on your VM and choose Configure..
2) Click on the Options tab
3) Click on the Sharing item
4) Click on Custom Folders...
5) Add the folder you wish to share
6) Exit Configure and start VM
The "Home" folder and any Custom folders will show up inside the Parallels Shared Folders network share.
Last edited: Dec 11, 2011