Did you really mean Vegas 3?
What’s the format of your source footage?
I can’t remember if Vegas 3 supports nesting but, if it does, that would be one way to do it.
Start a new project, import all the veg files, drop them on your timeline and render to the format of your choice.
If that doesn’t work, then render each scene out to as high a quality format as you can (depends on your source footage), import each rendered scene into a new project and render your master film.