You can select a portion to render out if you want sample clips. There is an option for that on your time bar in Vegas. If you dont render out the final project as one movie you will likely get a pause between scenes. This may vary on different DVD players.

Think of it this way, when you watch a movie on DVD, is it one file, or is each scene a separate video?? Its almost always one movie and one file. You can insert chapter markers in your DVD authoring program if you want to (but in the end its still 1 video)