My work flow is capture footage via my fx1000 to one computer and editing on the other computer.
Until now I would use external hard drive to transfer the files from one computer to the other.
I wander if there is a way to connect both computers and transfer directly from one to the other.

You could use ethernet or wireless if your computers have the cards. A mac would let you use Firewire target disk mode as well but if you are on Vegas presumably you are on PC.

set up a "shared drive" on the computer you capture to-then you can edit off of the other computer while using the HDD on the other. I do it all the time. While I render on 1 I can edit on the other and since my main edit machine has the HDDs I want to capture to and keep the footage on, it makes it real easy. Of course you have to have the NLE on both machines.
I have 4 shared drives on my main edit machine that talk to my other machine.