I've been on this forum now for about a month (or so) and this question pops up more times than not. Hmmmmm - I wonder???
Anyway .... all the advice so far is very sound. You can find a great deal of info here - but may I also suggest downloading the VV manual and giving that run through. It covers PIP in detail (along with a lot of other stuff you would find useful).
The advice to download the manual is good - the tutorial (included in the manual) gives step-by-step instructions for PinP.
This part of the tutorial was one of the major reasons why I ended up buying Vegas. After that I discovered lots of extra 'good reasons' for buying it!!!