Yes, it works very well. But if you plan on using the plugin to edit native MXF files, make sure you have some good horsepower or it can cause Vegas to be unstable.
If you don't have the horsepwer, Raylight can convert the files to AVI, which isn't too time consuming and works very well on older computers (I used it on a P4 with 2gigs).
For Raylight and Vegas 8 check out:
You simply drag-n-drop the P2 MXF's into the timeline just as you do with AVI's or any other video file format. Workflow is the same except you need a speedier machine to move all the data around.