You can create them in Vegas by creating Closed Captions. Then the scripts allow you to export them as DVDA Subtitles. Or you can create them in DVDA on the timeline. I can create a short video that might help but it won't be until over the weekend.
If you do want to do it by creating CC, take a look at this very well explained tutorial...:
If you have vegasaur, you can do it via the text generation wizard; usefull if you already have the text or if you're doing it "on the fly". Then with the text generation wizard you can export to an external subtitles file, so you can have selectable subtitles in your dvd/blu ray
A couple of years ago I have to translate and add subtitles to a short 15 minutes video for a client; start with the cc method, but finally did it with the vegasaur approach.
Recently I do the same for a 70 min video... My workflow was:
0. (If you already have your subtitles file, skip to #4)
In sony titles and text create a preset for your subtitles as you want them (set size, color, shadow, etc)
In a text file translating on the fly -Play, pause, transcript, rewind as needed-
Save your text file
Vegasaur> timeline> text generation wizard> import subtitles
Play video and make adjustments to text and/or syncrhonize
Select all events in the track with your subtitles: right click on the first one> "select events to end"
Vegasaur> effects> titles and text> apply preset (your subtitles preset)
Vegasaur> timeline> text generation wizard> export subtitles
Try with a couple of minutes both methods and see wich one is the best for you...