i really dont know, im not a pro ;D and maybe there is better ways to do that..
But in my opinion, both ways sucks, because if you choose first one, you will need to work with a lot of files, render them, when edit in ae, render again, put in vegas, and render to final project. If you choose second way, you will have less struggle with rendering, but in ae you will have troubles then, because you will have long piece of video and adding effects to it could cause struggles too.
all in all, i dont know what to choose ;] maybe someone will see our discussion and could help to find the best way ;]
Bump for more attention, leave some comments :}
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First post updated last time, i wont be updating this thread any more.