Well, ideally you would use Premiere with AE since they are made to go together (you can import your project directly into AE). Though if you are more comfortable with the Vegas interface, then what you just described sounds about right (using an intermediate lossless render from Vegas should be pretty reliable.)
If you really need your layers for effects, just render your layers individually from Vegas/AE.
And for crossfades, yeah... you'd have to render the two clips separately I guess.
(Though, I find it helps if you do crossfades as two separate layers, stacked, where one fades out or the other fades in, then when you want to export, remove the fades, and render the layers separately)
It might be a bit annoying, but it should work.
A tool that may help is Debugmode Frameserver, which allows you to skip the intermediate, and frameserve your whole timeline to a fake/dummy .avi file, which you can then import into AE. But you don't get any layers, and it's a bit of a hack imo; it only saves you the time and space normally used on a real render. For a short AMV, that's usually not much. But for a full-length movie, it can be a lifesaver. So it's something to consider.
Now if you can get it to work, try exporting as Avid Legacy AAF format from Vegas, and import that into AE.
It's probably your best option, since I think it keeps the layers/clips.
Though the one time I tried it, it didn't work, and I was too lazy to figure out why lolhttp://bluefx.net/after-effects-templat ... r-effects/