If you want subtitles that can turn on and off on a DVD, you have to create your video in Vegas w/o subtitles and then create the subtitle track (you can import a text file of a specific format) in the DVD authoring program, such as DVD Architect. It is quite simple to do.
1. Permanent. You put the text into the video. Use the Vegas title generator.
2. DVD Subtitles. Create regions in Vegas. The names you give the regions become the subtitles in DVD Architect when you export those regions using the subtitle script that comes with Vegas (or you can put the subtitles directly into DVD Architect, although the interface there is cumbersome).
3. Closed caption text. Video can also have text embedded in line 21 of the vertical blanking interval. Alas, Vegas is completely clueless in dealing with anything embedded in the video stream, including line 21 closed captioning, DV date and time, and countless other goodies. You'll need to use another tool for this. The advantage of closed caption is that it can be "played" even if you print to a VHS tape or a DV tape.