All the custom render settings I had in Vegas 6 followed to Vegas 7 and again to Vegas 8 with no problem.
However, only 1/2 of them (or less) followed to Vegas 9 :-(
I opened a support ticket (aka bug report) with Sony and didn't get nay satisfaction so I gave up on it.
I know I'm not alone as several other users have experienced the same problem.
One friend (a lot more computer savvy than I am) has opened a support ticket with Sony but I haven't heard back from him yet.
If your Special FX settings are part of a chain (i.e. more than one FX), you can use
Preset Manager (it's free) to move them from V8 to V9.