In Vegas Pro, go to Options/Preferences/Audio (tab) and halfway down is a field called 'Preferred audio editor'. Use the Browse button to seek out SoundForge's exe file (Forge140.exe if you've got the latest SoundForge version) under C:\Program Files\SOUND FORGE\SOUND FORGE Pro 14.0
Once set, you can then R click on an audio event on Vegas Pro's timeline and select from the context menu that opens either 'Open in Sound Forge' or 'Open Copy in Sound Forge'.
If you have a SCS (Sony) version of Sound Forge, it would be in "C:\Program Files (x86)\Sony\Sound Forge"
When you right-click an event in Vegas, 'Open Copy in Sound Forge" creates a new 'Take' of the event for editing in SF. Back in VP, you can toggle the 'Takes" with the "T" key. OTOH, the 'Open in Sound Forge' comand, opens the entire file directly in SF for editing and does not create a take..so beware of 'destructive' editing in that mode
btw, welcome to the Magix Sound Forge forum @Roland-Enz.