It will not delete your XP data unless you delete the hdd file.
XP is stored in a virtual disk file (the hdd), and Parallels uses the virtual disk.
You can actually take that hdd file and put it on another computer running Parallels and have another version of XP which is exactly the same as the first.
I'm a Macintosh SysAdmin and that's how I do it every day for various users. I don't ever install XP anymore, I just install Parallels and copy the virtual disk onto the new machine, configure Parallels to see it and boom, you're done.
Cheers.