I was thinking about this earlier keeping in mind the old fashioned round Army parachutes which I didn't think were steerable.
Then I found this:
How to Steer a Parachute | eHow
Tips & Warnings
Round parachutes are usually not steerable and you have little input on the direction of flight.
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To turn that sized chute I can imagine you would need to pull the "toggles" quite a distance which wouldn't easily be achieved. Hooking it up to the rudder wouldn't give enough throw unless the steering lines were geared.
Interesting question though... I would think it would add complexity that could cause it to all go horribly wrong.