A file exists in guest Windows XP (under Fusion), can I open the file in an OSX program?
If you keep your files in the OS-X file system and share those folders with your guest - as in your Z: drive example - you can access them from either OS (or both, if you're careful), plus however you backup OS-X will also back up your changed XP files without its having to backup your entire guest VDD for a (e.g.) one-line edit.  

The save would not go to your guest file system though, so if that's a hard requirement, this suggestion won't help.  If you just need the guest to have access to it, this would be the way to go.