I don't own Vegas either, but it defenitly work with EL. Lots of fxhomers use it. In fact, every NLE which can import .avi or .mov files work with the FXhome products!
I find first which part of the shot to use, than import it to EL\CL and do the effects, and render. I then import the finished shots to my NLE and edit them all together with music, SFX and transitions!
I use VEGAS 6.0 and I used FXhome's EffectsLab to do a muzzle flash and a blood squirt and it worked fantastic.
Now here is the kicker. If you use Magic Bullet to obtain that Movie look, and then also combine effectsLab footage you may not see your effect during preview playback. You can always slow down the playspeed so it shows up just so you know it is there during editing, but sometimes it doesn't show under normal preview mode playback (Mostly muzzle flash - single gunshot)
However once the sequence is edited to AVI or QT it shows up just fine.