Questions back at you ... why do you think you need to do that? What do you think you can do in sound forge that you can't do in Vegas? Can't you render your completed project right from Vegas' timeline as is, from the separate pieces?

Vegas doesn't care if all the pieces are separate files, separate events, or one big file. If it's on the track, Vegas will use it. You could render to a new audio file if you want all the pieces combined into one, but it's not necessary.

I'm wondering if what you're asking is really "how do i combine all those cut up pieces together so it sounds like a continuous soundtrack?" And if that is what you're asking then Sound Forge is a very poor tool for that. Vegas is the place to do this. There are a couple simple things you can do. One is to record "room tone", which is simply what the environment at that location sounds like without any of the sounds caused by the actors. Record a few minutes of it, or something similar, and loop it through the entire scene on a separate audio track. That will give some continuity even when the clips themselves change. Another thing to do is to add a music background which accomplishes the same thing.

To get a little fancier, turn off ripple edits and slightly drag out the edges of the audio only (not the video) so that you end up with all the audio pieces crossfading into each other. Combining this with either the room tone or music or both will create a much smoother audio track.