No. they are specifically copy-protected to not permit import to most any application. Vegas will just say "no" when you attempt to drop them on the timeline. You'll need to convert them first.
The most popular software for stripping the i-tunes protection (DMR?) is called jhymn.
However, jhymn no longer works with i-tunes, version 6.0. I assume the jhymn guys are working on a new version.
Meantime, you can always burn your i-tunes to a CD, and then rip them back from the CD onto your hard-drive. The copy protection will not be on the ripped audio.
Jhym is an open source project, so I suggest you try that first. (Google it, you'll find it right away.) It is quite simple to run. Just don't upgrade to i-tunes 6 if you need to do this stuff now.