I don't know anything about Parallels, but if it runs Widnows in a window on your Mac desktop, than I really can't see it being able to run SoD. It would be emulating every little thing Windows and it's child programs (such as SoD) are doing. Also because Aqua is the default graphical system in OS X, you may not be able to run the BSD port of Cedega. I know there's an X11 add-on that might do it, but from what I remember it doesn't sound likely that it will work, running SoD on top of X11 on top of Aqua.
Yes, Cedega requires a subscription to download their software. You may actually have better luck with Wine. If I use Cedega under Linux to play SoD, all my models are all screwed up. Characters are missing armour, and some races are naked. Under Wine, it runs as it should. Looks pretty much the same as in Windows. Wine is also free for download and use.
Your best bet would be to use bootcamp (if you have an Intel Mac) and install a real copy of Windows. You'll have to follow their directions on how to do it from the Apple website. Also, there's no 100% guarantee that that will work either.
You have a few options anyways, good luck!