Hi Andy, the Shuttle Pro 2 should work well with Vegas 11 or 12 and I have used with both. You do need to install the "preference" file, which after installation of the Contour Pro you should then find under Programs>Sony> then you're looking for the appropriate "pref" file. (Sony- Vegas Pro 11--Shuttle Pro v2 pref)
I know that the 35 page PDF user manual that comes on the CD/DVD with the Shuttle Pro includes detailed info about installation. I also have a bit more info from Contour in a PDF from when I had some issues installing for Vegas 9, so let me know if you still have problems and I can hunt more info down. I'm sure someone else on this forum will be able to advise precisely how to install, but it's been a while since I set the contour up and it was very straight forward. Also, contour have FAQ on their forum, so it's probably quicker to start there.