I like to do colorgrading in DavinciResolve and video editing in Sony Vegas. Which program should I start first?
What do you sugest? And most important: how can I export project from one to another?
Would be there some video quality lost during transfer?
A lot depends on your choice of camera format and how you intend to deliver the project at the very end. Choice of editing and finishing format can be complex, weighing on a lot of factors like budget and available computer hardware, and that's basically what workflow is all about. There is no simple answer.
I'm not a fan of Sony Vegas, but I have (reluctantly) dealt with Vegas projects before. We generally conformed back to the camera originals in Resolve and graded from those, and that hinges on using transcodes for offline editing in Vegas. There's a more clear-cut path within Premiere, FCP (and FCPX), and Avid.