Are they already imported into the Project Media list, or are you fetching them from a "My Computer" window and dropping them in? If you do the later your O/S releases the resources that Vegas reserved and it takes a few seconds to reclaim them depending on your computer power.

Examples of things that might cause that to happen include touching the speaker icon in the system tray, the clock, a browser session. In sort, anything outside of Vegas will cause that to happen.

There used to be something you could select in preferences that would minimize the lag time, but it also decrease the number of resources the program could have when using it.