The rate only affects preview playback. It's there so that you can scrub through your project quickly to find the places where you want to edit. It has no effect on the output at all, as you've discovered.

Quick simple thing to do is to Ctrl-drag the end of the audio event back to the left to make it about half as long. This will make it play twice as fast. Vegas will preserve the pitch so it won't go up automatically. If you want the pitch to go up then right-mouse-click on the clip, go into properties, and change the stretch method to 'lock pitch to stretch'. There's also a spot there where you can enter an exact playback speed if you wish, but changing that doesn't change how long the event lasts on the timeline, so you might end up cutting off some of the end or having some of the beginning repeat if you change this number without adjusting the end of the clip afterwards.