.sfk files contain the picture of the audio waveform that you see on the timeline. You may safely delete them at any time, but Vegas will automatically recreate them next time you use that audio file on the timeline.
I put in a request to Sony to have a preference to choose a folder that they get created and put into. It would be nice not to have them all over the place. We'll see what happens.
>It would be nice not to have them all over the place. We'll see what happens.<
What will probably happen if they were to respond is they would tell you that the .sfk files have to be located in the same directory as the source media.
I suppose there could be a directory where Vegas always look for your sfks, but what happens when you are using portable drives?