Sorry, I don't know either Vegas or DP but I can give you a little background info which might help:
There are two basic types of AAF, embedded AAF and linked AAF, although your software might have slightly different names for them. AAF is essentially a container file format; an Embedded AAF is where the audio files are actually stored in the AAF itself, whereas a linked AAF just contains links or references to the audio files. When you open a linked AAF you will be asked to specify the folder where the audio files are stored and then your audio software will read and load all the audio files, editing and positioning those edits as specified in the AAF. There are several advantages to a linked AAF but of course if you just send the AAF without a folder containing all the linked audio files it will just appear to be empty. This could be what you have done, although there are other reasons why the AAF might appear to be empty.
The usual method of creating an AAF is for the AAF to only contain all the audio tracks and edits in your sequence, not the video. You should render the final edit of your video in a format specified by your sound person and supply that separately, then delete the video tracks from your Vegas session before creating the AAF. Obviously it makes sense to do all this on a copy of your Vegas session. If you've never done it before, it can take quite a few attempts before you hit on the correct combination of settings which will create a usable AAF, so work with just a 20 secs or so segment to speed things up until you know your sound person can open your AAFs successfully. One of the things which can make an AAF fail (or at least fail to open properly) is if you include audio of different formats, say wav files and mp3 files or 44.1kHz sample rate files and 48kHz files or 16bit and 24bit, even mono and stereo or polywav formats. In theory AAF should handle all these different file types and formats fine, in practise it doesn't always work that way. Best to convert all your audio to the TV and Film standard of 24bit/48kHz wav files before you create your AAF.
It's possible that there is no combination of settings in Vegas which will allow the creation of an AAF which can be opened successfully in DP. This is because what AAF attempts to achieve is very complex and rarely used except in professional audio post. DP is not specifically designed for audio post, most DP users use it for creating music and most Vegas users also don't need AAF functionality either, so it's possible that not as much programming time and effort has gone into AAF functionality as required. Logic for example has always been flakey trying to open AAFs, which is one of the reasons why it's virtually never used by audio post professionals and Premiere also seems to have a problem creating AAFs. An older version of AAF is called OMF and it might (or might not) be that you have more success creating (and importing into DP) an OMF file rather than an AAF. This whole AAF/OMF creation and import issue is one of the reasons why the professional NLE marketplace tends to be dominated by Avid and FCP7 and why ProTools dominates the audio post side.
G