I'm just now getting into using Vegas for this. For the first time a couple of days ago I came up with a process for this:
1) Export just the two shots you want to crossfade to an M2V file.
2) Load the clip into VirtualDubMod and save as an uncompressed AVI.
3) Open the AVI in Vegas and do what you want with it. Save as another AVI.
4) Encode back to M2V using TMPGEnc.
5) Load the new M2V into your Womble project.
The results are GORGEOUS. I'll likely do this from now on, and will use this method to do the wipes in SW whenever they eventually happen in Hi-Def.