I believe the correct term here is "trimmed section", because splitting in Vegas splits an event into two separate segments (click on an event, press S to see what it does).

Try "Open Copy in Sound Forge" instead. This, however, doesn't edit the original sample, but creates a new file which you must save to a new location.

Alternately, in Vegas 4 you can save the project with the "Copy and Trim All Media with Project" checkbox set. This creates new, trimmed versions of all the media used in the project, which can then be easily opened and edited in SF.