I've just had a week of trying to get this to work.
I finally found a mention on the Parallels forum about bluetooth devices, it's not good, due to ownership of bluetooth drivers(owned by Apple Mac) Parallels can't load BT drivers:-
You can download Bootcamp and then run your BT connection in XP. The only problem (and particularly for me) is that if you use a BT keyboard/mouse, then you'll only be able to use it in one of the two OSs( either OSX or XP) not both!!
I also saw a mention that said that if you install a separate BT dongle on XP then it will be possible to run BT devices in that OS plus the built in BT in OSX.
If that all makes sense.
I've ordered a BT dongle which should arrive in the next day or two. I'll let you know how I get on.