The best (highest quality) way to do it is render an uncompressed .avi file, at the project size/framerate, and open that in AE. Make your changes in AE and render again as uncompressed .avi.
While this may result in some huge file sizes, the advantage is that you will not be losing anything by recompressing needlessly, plus with uncompressed you can carry an alpha channel to AE and back.
What exactly are you going to do in in AE that Vegas can't do? Just wondering...
Secondary color correction! I (and many others I've spoken to)would love to be able to target specific colors and change their HSL with some softness and blend.
You can use color curves which works similar to how curves work in Photoshop. You can adjust RGB together or adjust each channel by itself. Haven't used it much myself yet, just messing around. Also some presets. :-)