The first thing to try is to set up a filter in the configuration options so that every time you insert the flash drive while the virtual machine is running, it will automatically capture it. The other option, and the one I use most often, is to eject the disk from your Mac Finder, then in VirtualBox select the drive from the USB menu, either in the menubar or by clicking the USB icon at the bottom of the window. Mind you, only some of USB hardware actually works, I have two card readers that don't play well with VirtualBox, and my TV tuners don't do so hot either.
Oh, just remembered one more thing. You could set up a share folder resource that links to your flash drive and then mount that as a drive on the virtual machine, thus enabling you to use the flash drive in both XP and Mac at the same time. It will complain every time you start up if the drive isn't inserted, but it makes things a lot easier if you use your flash drive often.