"in the media files" is not right. Vegas does not touch the media files. It is a completely non-destructive editor. All markers and other metadata are stored in the .sfk and .sfl files, and all editing instructions are in the .veg file. You can safely delete the .sfk and .sfl files after you close the project and Vegas will re-build them, but it needs these files in order to operate properly.
Steve Mann
MannMade Digital Video
http://www.mmdv.com