I use Vegas Pro 8 (started with 6) and as Alan clearly suggests at end of referred tutorial, .PNG image sequences with Alhpa is the best way to go for NLEs such as Vegas.
But here is a step-by-step.
-- When ready to output from PI, make a folder in which the .PNG will go, i.e. similar name as your particles or .ip3 file. You need this folder because .PNG are essentially separate frames or stills, so you'll have a slew of them. The longer the sequence, the more you will have.
-- To import into Vegas, you choose "Import > Media," go to where the folder containing the .PNG are. Hover over the first .PNG so it's highlighted. That will add an option at the bottom where you see -- and check the box "open still image sequence." Hit "Open."
-- This adds the sequence to your "Project Media." Have Project Media open so you can see it and the track on which you wish to put the sequence. Find the sequence in Project Media, i.e. NameofSequence0001-NameofSequence02345, highlight it and then drag it to place you want it to go on said track.
-- Depending on your .veg project properties and other media in your project and personal preferences, choose or un-choose "Maintain aspect ratio" in the sequences Properties.
I find this .PNG import process for Vegas a bit tedious, but it works.
Hope the above helps if you haven't already figured it out. Last, there are some other users at the official Sony Vegas user forum who use PI, so that's also a place to put up PI-Vegas questions.
'I use Vegas Pro 8 (started with 6) and as Alan clearly suggests at end of referred tutorial, .PNG image sequences with Alhpa is the best way to go for NLEs such as Vegas.'
I don't see the point in exporting PNG images to import them as a image sequence into Vegas. An easier way is exporting from PI as avi file with the lagarith codec (include alpha channel selected!) and drag this file onto the timeline of Vegas.