http://nolar.info/capslock-keyboard-layouts-switching-in-parallels-desktop/

private.xml

<?xml version="1.0"?>
<root>
  <item>
    <name>Change F19 to switch language in VMware, Parallels, VirtualBox</name>

    <item>
      <name style="important">First, remap CapsLock to F19 (code 80) in PCKeyboardHack.</name>
    </item>

    <item>
      <name>F19 (CapsLock) to Alt+Shift</name>
      <identifier>private.f19caps_to_altshift_in_vm</identifier>
      <only>VIRTUALMACHINE</only>
      <autogen>__KeyToKey__ KeyCode::F19, ModifierFlag::NONE, KeyCode::SHIFT_L, ModifierFlag::OPTION_L</autogen>
    </item>

    <item>
      <name>F19 (CapsLock) to Ctrl+Shift</name>
      <identifier>private.f19caps_to_ctrlshift_in_vm</identifier>
      <only>VIRTUALMACHINE</only>
      <autogen>__KeyToKey__ KeyCode::F19, ModifierFlag::NONE, KeyCode::SHIFT_L, ModifierFlag::CONTROL_L</autogen>
    </item>

  </item>

</root>