Not a Mac/Parallels expert, but:
1. You may want to try installing Windows Server 2008 (free trial available); this would be 64 bit, so the VM can have more RAM (probably the single largest determinant of run time for complex queries). Also, Win2k8 performance may be superior to WinXP.
2. Using an external drive (SSD or hard drive) will definitely improve performance (either because the drive is faster than the built-in one, and/or because different processes aren't fighting for the use of the drive at the same time). The drive may also have a larger on-board cache.
3. Check the Windows Task Manager to see what is going on with various processes, and also look at the swap usage on the Performance tab (if memory used is greater than available RAM, performance is probably degraded). Swapping of intermediate query results will slow it down by orders of magnitude.
4. If you have extra RAM on the host machine, consider making a RAM disk to hold the SQL Server working files (or a copy of the database). I assume Parallels can present this to the VM as a local drive; you'd have to check.
5. Try using a profiling tool (see http://msdn.microsoft.com/en-us/library/ms187929.aspx
) to get an idea of how the queries are running (you may want to compare results from the VM and the production server if you can).
6. Check how much RAM Parallels is giving the VM (more is better).
7. Check how many CPUs/cores Parallels is giving the VM (more is better). If you look at the Performance tab of the Windows VM Task Manager, you can keep an eye on the CPU loading as the jobs run.
8. Make sure Windows isn't doing maintenance tasks (like updates) while the job is running.
9. Make sure the host computer isn't doing things like streaming audio while the job is running (either high-CPU tasks, or high-bandwidth tasks).