Since nobody else chimed in, here are some thoughts.

Different video formats have their own specific closed-caption file formats. WMV gets a SMI file, Flash video can have XML or another which I forget, and so on. Traditional broadcast TV puts the captions on line 21 and those authoring systems have other formats which I am not familiar with but which predate the web based delivery techniques. Line 21 is usually decoded at the consumer TV set by federally mandated circuitry on 13" and above (updated by recent FCC rules).

For some good background info as well as reasonably priced captioning services, see AutomaticSync.com (I am not affiliated with them other than as a user). If you have a plain text transcript, their online web service can render it out as a caption file (or subtitle file in the case of DVD) for a relatively small fee and almost instantly as it requires no human intervention on their side.

[After a quick search, I found a review of Vegas 10 Pro that says it can import and export captions and save them in formats such as WMV and QT. A service like Automaticsync saves you the work of inputting and timing caption text but requires a transcript be either uploaded or created by their affiliated transcription providers. They give multiple CC and subtitle file outputs for one fee. I tried this in version 10 with a 4 minute music video and it works. I inputted the lyrics to SEVEN NATION ARMY and exported them as a Youtube .srt file.]

In DVDA you have to define a subtitle track and point it to your .sub file. The subtitles are NOT in the audio or video mpeg file.