Disclaimer: I am using Fusion 6 so the steps I am using, which may be identical in 5 as those in place for 6, may not be necessarily identical (although I haven't noticed any real menu item differences).
What I've done was bring up the USB settings for the VM (Virtual Machine Menu > Settings… item) and click on the USB & Bluetooth pane.
If the printer is already powered on and is recognized by the Mac, unplug it for ten seconds, then reconnect it and see if you get the dialog asking you which operating system to connect that printer. If the printer connects to the Mac only and you don't get that dialog, refer to the above USB & Bluetooth pane. I have seen printers connected to the machine listed and have clicked on the checkbox to the left of the printer and forced Fusion to connect the printer to Windows.
The above dialog has the option "remember this setting and do not ask again" (paraphrased). Never check that one for a printer that will see service on both your guest OS and OS X. If you checked that box one time, the checkbook in the USB & Bluetooth pane could get past that and allow you to connect that printer to the OS on demand.