iyup, I learnt that the hard way too!
Lock the edit before doing anything else .... This includes but not limited too, sound, CC and visual effects... learning to "slap comp" is useful a good for helping with visuals. Slap comps are just cheesy REPRESENTATIONS that you do in your editor of the visual you will add in After Effects..
Also, this is where the Adobe Create Suite products shine. I can edit in premiere, then IMPORT that project into AE, all my edits come over as individual layers in AE comp. Then using a script from the DVRebels Guide I quickly create an adjustment layer over EACH video layer that is the same length as the video clip this is where I apply CC for each clip. After I match the clips, then I add an OVERALL adjustment layer for Color GRADING for look and feel... Somewhere in there I edit the clips for that are visual effects, muzzle flashes etc..
ALSO: FWIW I BELIEVE you can import vegas projects into AE using some interchange format.. google it..