USB headsets for sound/recording work fine. The trick is to not let the VM know it is USB, and have a headset that is Mac compatible.
Here is how to make it work:
1) With paralles NOT running plug in your headset.
2) Go to Prefrences->Sound->Input
3) Select your USB headset's input
4) Goto Prefrences->Sound->Output
5) If needed, select your USB headset's output (Most headsets don't need this step)
6) Make sure your VM has sound support (if not, install sound support and re-install Parallels tools)
7) Fire up Parallels and it works!
**Don't unplug the headset while Parallels is running in this configuration. It will bork the sound in your VM untill you reboot it if you do.