Shutdown Sequence

Shut down XP first. Then I think you can just shut down your Mac.

One of three things will happen if you just shut down your Mac, I think.
1) The Mac shutdown will trigger Parallels to ask you if you want to shut down XP before Parallels shuts down. This is good, and preserves all file states.
2) The Mac shutdown will just close Parallels, and XP will be shut down without first saving files. This is like pulling the power cord on an XP machine. This is bad.
3) The Mac will just hang there, waiting for Parallels, which will be hung waiting for XP to do something. At this point you are looking at a "force quit" perhaps. This is bad too.

Until you try just shutting down the Mac you won't know which scenario applies, or until someone who has experimented on their system replies. Since 2 of the 3 scenarios are bad.... I would shut down XP first. I don't think you will need to shut Parallels before shutting down the Mac.