As far as I know Vegas does not support EPS files as they're vector based.
What you would need to do to get them into Vegas is use a graphics program such as Adobe Illustrator to rasterize them and create a bit mapped version such as .PNG or .JPG that Vegas can handle.
If you want to go the other way, from Vegas to EPS, good luck. Going from bit mapped graphics to vector based can mean having to trace the image.
Amazing or an amazing mess, we tried doing something like that with our old pen and ink drawings to get them into Autocad. Well they looked much the same.
Except when you send what should a have been a "drill a 1" hole at x,y" becomes a "mill a 1" octagon at x,y" :)
Same thing can happen when you try to extude the results, say a company logo.
That kind of software is fine if you understand the limitations, mostly no problem for embroidery, big problems in other applications.