You can limit the files displayed in the open dialog to quickly access particular file types. In the dialog window, simply choose a file type to display in the Files of type area. For example, if I only wanted to view all the Vegas Project Files (.veg) I can choose that from the list of file types and only view those files.
Sony Vegas Pro allows you to import layered PSD files into the timeline. Just Right-Click and Drag the file to the timeline. Once you let go, a shortcut menu will display. From here, choose Add Across Tracks. All the layers from that PSD file will import as individual tracks in the timeline. This is useful when creating graphics in Photoshop and animating them in Sony Vegas.