It sounds as though this is too late to help you, but here's my approach to securing my user data:
1. My virtual Windows disk only contains the guest OS and its settings, plus my Windows applications. It contains none of my precious user data. "My Documents" is empty.
2. I use shared folders in my Mac OS X user space to store all my documents created using Windows apps, so even if I lose the whole Windows VM, virtual drive etc. and have to recreate a Windows environment ... even in another virtualization product or on a PC ... I still have my documents. They are not stored within the virtual disk.
3. My normal backup routine creates backup copies of my OS X user folder to an external hard drive, and this includes the shared folders where Parallels/Windows saves documents. So they are also secure against an OS X disk failure.
The other benefit of this approach is that I can access documents using OS X apps if necessary, without even launching Parallels. I use this to get to text and spreadsheet reports from my Windows accounts package, for example.
Maybe someone will tell why me this is not a great idea, but I think it works for me.