Trying to copying makers confused me too. Then someone pointed out the "Edit Details" window. I think you can select all/some of the markers there, copy, paste. I'm trying to remember..... I think you can cut/paste your clips in one step, then cut/paste markers from Edit Details in step 2. Maybe someone in front of their machine can jump in here.
I just went thru this, and found that though I could get multiple .veg files on a single timeline by opening multiple instances of vegas, then copying and pasting, the tracks behaved strangely for furthur editing-(for instance, if I opened additional audio and video tracks, then moved clips from my .veg file tracks to them,trying to mute any of the audio/video tracks muted all tracks) I finally gave up and re-edited all my source files into a new .veg file. I think that if you have finished .veg file tracks, that require no further editing, you could probably combine them on a single timeline by cutting/pasting, and then render them ouit, but I think editing this way might be risky-I ran into many strange things while trying..