I would think you should set your project properties to match the media. You could then render to progressive if that was your desire
Probably the easiest way to make sure that they match is to click the icon in the upper left corner of the preview window (project video properties) and then the folder in the upper right corner of the window that appears (match media settings) and Vegas will set the project properties to match the media.
Terry is right. You edit in the way the media was shot as, interlaced (use "match media"). At the very end, export in the way you want to, e.g. progressive (for PC/web distribution) or interlaced (for DVDs).