I normally do exactly what you suggest. Sometimes I can shut the printer off (device I'm trying to connect) and make the Parallels active then turn it back on while that's active and it'll let me use it; however, lately I get this message (below) and can't seem to do anything about it (I've tried closing/quit everything possibly connected).
"USB device you are trying to connect to the virtual machine is being used by another process. Wait 5-10 seconds, then try to connect the device again. If this does not help, find the application that blocked up the device and disconnect it manually"
Any suggestions?