And I don't want to have every VM twice on the HD.
This is why for VM's that I move between OS X, Windows and Linux I put them on the FAT32 volume as it is the least path of resistance between the three OSes. Obviously in this case I use split disks and do not give a VM over 4 GB of RAM. Other VM's that run only under a given OS I keep them on the appropriate type Filesystem partition. Since I have read access to all partitions under all OSes I can easily access the files that are >4GB and most of them I'd normally only access read only after being created anyway however as I said I can enable write mode if necessary.