You put markers on the timeline in Vegas (or DVDA for that matter) at the cursor position using the M key. Give each marker a name that you want to appear in the scene menu button. When you render out of Vegas, make sure that you have "save markers in project file" ticked. Render the video and audio out separately in formats that DVDA prefers, so that it won't re-render your files. The markers are stored in a sidecar file with the same name as your video and audio files, but with a .sfl extension. Make sure all three (or four) files are in the same folder.

Then go to DVDA and create a new project with menu. From the explorer pane (or Windows Explorer), drag your video (or audio) file to the main menu. This will create a play button. I usually make it text-only and label it "Play". In the left hand pane showing the structure of your menu, right-click on the icon that looks like a piece of movie film and select "insert scene selection menu". This will create your scene menu, with multiple pages if necessary, and a scene (chapter) menu button on the main menu.

Then tidy things up to your liking.