What file exchange methods have you tried? The usual options are standard file sharing, either sharing a Windows folder or sharing a Mac folder and then attaching to the other as a network drive, and using Parallels shared folders. In any case remember you are reading and writing to the same spindle so the read/write head has to do a lot of moving. Multiple drives can help. At least on my laptop and Mac Mini the disks are pretty slow.
I have Parallels running on a Mac Pro with two hard drives. File reads are snappy but writes to virtual disks are much faster than writes to shared folders. Shared folders are really sluggish, and even writes to virtual disks are quite slow compared to normal performance on OS X. I've tried creating a virtual data disk for Parallels on the second hard drive but compile times are identical. This opens up a bit of a stumbling block for me: I use Parallels mainly for compiling Windows help files and disk performance is critical for large files, which are often assembled from thousands of source files. If I write via shared folders it's slow, if I write to a virtual disk I'm a little concerned about security -- a virtual disk is a single file and if that get's damaged everything's hosed. I'm sure that there's not much that can be done about this because of the nature of virtualization, it's just a problem that I hadn't anticipated...
If my virtual disk gets damaged (which it does now and then when I do something stupid), I just restore a backup. You can have up to three virtual disks per VM (four if you don't need a CD drive) so backing up can be selective. Copying one file to backup a disk is a really neat trick IMO.
