I can not find the right way to pull an image sequence into Vegas. What is the trick?

Go to File > Import, browse to the correct folder, click on the first image in the sequence, click the "Open still image sequence" box at the bottom of the tab and click "Open".
Change any desired options in the box that comes up and you're done.
All the images have been combined into a single file sequence that can be dropped anywhere on your timeline.

Thanks Mike, I knew it was something simple I was missing.