Highlight the sction to be rendered in Vegas, with the tabs on the top of the time line. Once the section is highlighted go to "file">Render As>mpeg2(You can choose the quality you want). It will make one file out of many clips.
I have know idea about WinAVI converter, but Vegas does it all. There is no reason to use 2 programs.
If you want clips to be seperated, but will play continuosly, add markers in Vegas. Then make a DVD with Sony DVD Architect.
This is hard to explain in one paragraph, but I would be happy to help you out Mr. Hurley.