Chapter 16 of Deathly Hallows give us this nice little touch, showing that Harry believes his parents to be well and truly gone:
But they were not living, thought Harry: They were gone. The empty words could not disguise the fact that his parents’ moldering remains lay beneath snow and stone, indifferent, unknowing. And tears came before he could stop them, boiling hot then instantly freezing on his face, and what was the point in wiping them off or pretending? He let them fall, his lips pressed hard together, looking down at the thick snow hiding from his eyes the place where the last of Lily and James lay, bones now, surely, or dust, not knowing or caring that their living son stood so near, his heart still beating, alive because of their sacrifice and close to wishing, at this moment, that he was sleeping under the snow with them.
This is all well and good, but how can Harry possibly believe this? He's seen their souls.
The smoky shadow of a young woman with long hair fell to the ground as Bertha had done, straightened up, and looked at him ... and Harry, his arms shaking madly now, looked back into the ghostly face of his mother.
"Your father’s coming ..." she said quietly. "Hold on for your father ... it will be all right ... hold on. ..."
And he came ... first his head, then his body ... tall and untidy-haired like Harry, the smoky, shadowy form of James Potter blossomed from the end of Voldemort’s wand, fell to the ground, and straightened like his wife. He walked close to Harry, looking down at him, and he spoke in the same distant, echoing voice as the others, but quietly, so that Voldemort, his face now livid with fear as his victims prowled around him, could not hear. ...
"When the connection is broken, we will linger for only moments ... but we will give you time ... you must get to the Portkey, it will return you to Hogwarts ... do you understand, Harry?"
- Goblet of Fire, chapter 34