They work great! I have a 2011 Mac Air 4GB, 124GB, that came with Lion installed. I installed Parallels 6 and recently the update to it and it's all working great! No hiccups of any kind (only the self induced ones due to my ignorance, lol).
There is only 1 thing I don't like and I'm sure I'll figure it out some day it's that I have to keep switching on and off in the DEVICES tab when I want to use my printer with a Mac program or with a Windows program. Takes 3 or 4 seconds to switch but I'm sure it should do it automatically like everything else. Aside from that I love Parallels 6 !
My dilemma now is whether to upgrade to 7 since 6 is working great and I read all the horror stories here.