what you do is export at the highest settings possible (lossless or uncompressed)
then you take that file and compress it down in something like megui or zarxgui or Virtualdub Mod and you can make it good quality and a good file size.
you "can" compress directly from Vegas, but the results are rarely good :/ using a separate program for compression like Virtualdub Mod or Zarxgui can help you to gain better quality cause those programs handle compression better than Vegas does.