Well, doing the subs in Vegas means they'll be burned into the movie, not a new subtitle file. And if you can set the monitors to display the movie in 16:9 correctly (I know this can be done in Avid and Final Cut, but like I've said before, I have never used Vegas, so I don't know about that one), then you'll be watching the movie in the correct aspect ratio and should be able to add the subs properly that way. When you render it out as 720x480, the subs will be stretched vertically, like they were supposed to.

I don't know, though, I'm definitely not the best person to ask about that.

Also, you could render out the lossless AVI at 854x480 (with square pixels), which is 16:9, and work with it in Vegas that way, so you don't have to worry about the anamorphic issue until you're done and go to make the DVD. It'll probably make the encoding from MPEG-2 to Lagarith/huffyuv AVI take quite a bit longer, though.