Using or rendering to WMV files is what’s slowing your machine down, not the “fade handles”.
Vegas, like most NLEs, works best with DV-AVI files which is what you really need to capture to for editing purposes.
As far as the “fade handles”, are you referring to the (extremely short) audio fades at the beginning and end of each clip? If so, that’s normal, nothing to worry about and, once again, nothing that would make editing or rendering painfully slow.