I thought that, too, but they changed the default location in a recent release, and it's now in ~/Documents/Parallels/. Older installations will still have it in ~/Library/Parallels/
FWIW, I don't save any of my own documents in the VM hard drive, I use a shared folder on my Mac. That way they get backed up when my Mac's home directory is backed up, and if I ever have to recreate my VM hard drive I only lose the guest OS and apps, but my own documents are secure in OS X.
Last edited: Jun 24, 2007