If you are like me and use "Preview in Player" (Ctrl+Shift+M) alot, then you may be wondering why all those "Preview" files are accumulating in your rendering directories -- or wondering how to prevent them from being saved. Previous versions of Vegas only saved one of these files and with the next preview would overwrite it. Sony confirms that things have changed in V9 in regards to "Preview in Player"... Here's what Sony had to say on this:
----------------------------------------------------------------------------------------------------------------
Thank you for contacting Sony Creative Software.

This feature has indeed been changed.
When you select Tools > Preview In Player, a file will be rendered. The file that is rendered will be saved to the last folder that was used when using File > Render As.

I have sent through an request to our QA testing team and Development asking if this could be at least described more thoroughly in the Help documentation, and also I forwarded a product suggestion to ask if this could be something that is defined in the Preview in Player dialog window, or perhaps as an option that could be defined in Options > Preferences window.

Thanks for reporting this, Hope that information helps you out for now.
------------------------------------------------------------------------------------------------------
I liked things the way they were. Saving these files is annoying.