Done a few. Vegas excels at this and multitracking.
I use my old M-Audio Firewire 410 but any sound box / card with two XLR inputs and TWO headphone outputs with individual level controls will do. You need two mics. One for you and one for the talent. Pretty well any mic will do for the control room mic and what you use for the talent is a question that one could write a book about. Generally use the same mic as used on location and you might need a boom operator. You'll obviously need XLR cables and headphone extension cables, mic stands etc, etc and water for the talent to drink. Make them drink it too, no heroes. You also need a monitor for the talent to watch. Could just be a clone of one of yours, could be an external preview monitor running from a D/A convert, a camera would do.
Setting up Vegas:
First create a DV copy of the scene. Add pips a few seconds before start of vision so the talent can get in the groove if they need to start speaking immediately.
Put that into a DV project to match your video. I set Project Audio to 24/48K. Add an extra audio track. Assign audio input from audio card/box to record into this track. Sort out buss routing. Your audio card / box may assist in this if it has a mixer console like the 410.
Arm new audio track for record and hit the master record icon. You can loop the whole thing and Vegas will record each loop as a take. I generally haven't done this as I feel it better to let the talent catch their breath and/or review the last take.
What you want to get happening is for the talent to hear the location sound, see what movements they were making, be able to hear themsleves And hear you talk from the 'control room' The last is vital I've found, running around and pulling cans on/off is withering. Spend the few extra bucks to get two pair of half decent cans and cables. Get their headphone volume right helps. Its hard to explain why but I had one guy trying to do an overdub and he was tragically out of time. Later I turned his headphone volume UP and he was spot on.
On tip, no matter how you do ADR I've found it vital to get the talent to go through the motion. I have one scene of a movie where the previous editor took the best vision take and the best audio take and it jars something horrid. It's almosy in perfect lip sync but the guy turns a second or two earlier and the sound is wrong and man is it obvious.
Another obvious tip. Get it all sorted well before the talent arrives. Get friends / kids /wife to play the role of the talent. If you get everything sorted and running smoothly, have good file naming conventions etc it can be a dream. If not it can be a nightmare. As you'll actually be recording the talents mic on one channel and the control room mic on another add audio slates so you know down the track what the hell the audio is for. Go overboard, its amazing what we forget!