Cheers for the feedback and suggestions guys. I managed to take an AAF of an R3D based project from Vegas and open it in After Effects CS4 with the R3D plug-in and render out a 1920x1080 MP4 compliant for Blu-Ray. Slow render, but no crashes or memory warnings and worked on the first attempt. And this was on a lower-spec'd system with only 2GB of RAM. The same render would crash after about only four frames in Vegas 9 (32bit) on a 4GB RAM system, which indicates the Vegas team have some work to do on their internal memory handling. My take on the Vegas to After Effects approach -
1) Better memory handling in After Effects via 'Render Queue'
2) Access to AE filters like Synthetic Aperature for final render
3) The ability to spit out HD renders on a 32-bit system
4) use of Vegas for editing rather than Premiere CS4 (Vegas wins hands down on this front in my opinion)
2) AAF will not port all Vegas filters and transitions to After Effects (an inherent limitation of the AAF protocol across all NLEs).
3) The 'look' of the R3D clips (color, saturation and s-curve) looks completely different in Vegas compared to the After Effects after the AAF import. The default R3D interpretation settings in Vegas are far more pleasing to the eye than After Effects, which means a clip-by-clip colour correct in After Effects to match what you saw in Vegas (unless I'm missing something).
3) The cost of two pieces of software as opposed to one.
Others with more in-flight hours on Vegas may have more joy than me, until then the search for that elusive 'all-in-one', low-cost, PC based editing app continues.