AFAICT, the .hdd format -- at least for plain disks -- is just some optional (?) headers, aligned at 512 byte boundaries, followed by the raw disk contents.
This means it is possible to mount the file using ordinary OSX tools, but unless you have a really good idea of what you're doing: don't even think about it! Also, I haven't been able to mount NTFS properly, but I don't think it's a fundamental difficulty. FAT32 appears to be working.
How to do it:
1, Locate the offset of the x86 boot sector in your .hdd.
2, hdid -section offset-from-step-1-in-512-byte-sectors -nomount -imagekey diskimage-class=CRawDiskImage your.hdd
3, Mount file system using mount_msdos (for FAT32) or whatever, using the block device hdid gave you in step 2.
Please note that you should never mount the file system in both OSX and Windows unless both are read-only. Neither OS expects the contents of the hard drive to change. You have only yourself to blame if your kernel panics after unexpected file system changes.
Also, remember that the .hdd format isn't publicly documented by Parallels (that is, don't be sad if you ruin your VM after mounting it as read-write in host).
I too think Parallels should add a GUI-mounter, which ensures that the VM isn't running before it mounts the disk. In the meantime, and to be able to share between host and running VM, find yourself a good file sharing system.