I had been using a shared folder or a USB thumb drive to transfer files between my Guest and my Host but I only just discovered that there's a "Drag'n'Drop" feature available. The option is located at Settings/General/Advanced (tab) where you can select Shared Clipboard/Bidirectional and Drag'n'Drop/Bidirectional.
This is such a great time & effort saving feature that I want to share it.
[added later] - someone just let me know that from within your Windows guest you can do this too. it's "Devices/Drag and Drop/[make your choice here]".