In 3036 you can drag and drop:
in windowed mode, drag off the windows VM window and onto OS X
In coherence, drag any file from explorer right onto the OS X desktop
In 1970... You have mutliple solutions
You can setup PSF (parallels shared folders) through the VM configuration options (while it is stopped.) These showup on the desktop by default in Windows.
I've worked on my own hybrid solution with some tips I've picked up here. I turn on "Windows Sharing" in OS X. Then in your windows VM you can install "Bounjour For Windows" right from the apple.com website. Now, in OS X you can setup the "computer name" in the sharing setup, i.e. mine is "themoon." So, by default computers on the local subnet can access "themoon.local" to access the OS X sharing. If you have shared networking turned on in the Windows VM, you will be part of the same subnet, and you can directly access that OS X share through "themoon.local", such as going to explorer and using the address: \\themoon.local or you may need to specify your home folder, depending on your SMB sharing options, where my home folder is "alex" you would use this in explorer: "\\themoon.local\alex"
Once you get this working, you can go into explorer and create a mapped network drive, which will permanently keep that network location mapped to a virtual drive in windows. Now I have a "Z" drive, which is mapped to the root of my OS X hard drive.
You do this through explorer, Tools > map network drive, and use the same address like \\themoon.local\alex