I am a complete newby, a dummy you might say, so this is the most fundamental of all questions.

How do I get the mp4 files that were shot with the Sony EX-3 camera into Vegas Pro 8, and onto the timeline?

Use Sony Clipbrowser (software that came with your camera), re-wrap to MXF, drop into Vegas Timeline.

But I thought that the XDCAM camcorders were native to Vegas Pro 8? I didn't think a file coversion was necessary.

Brian, your request is very reasonable. I've wondered the same thing. The result is that you need to keep your footage in two formats, doubling the storage: MXF for Vegas 8*others and MP4s in BPAV for FinalCutPro. I suppose that Sony didn't want to bother with development time for Vegas, but it's a little embarrassing to see AVID provide direct SxS support in MC 3.5 . Sony, update your Vegas software !

Or, transcode into a format neutral format and NOT double your storage needs. Your choice. ProRes drops right into Vegas too.

And Brian, XDCamHD is supported currently by Vegas. The current version of Vegas shipped before XDCamEX was available.

Vegas 8c came out after XDCam EX and we were all hoping Sony wouldnt let us down,but they did.
If sonic was still in charge it would of been done. Sony has sloooowed down the upgrades, and many more bugs are present. The clip browser has problems too, you might want to look at shotput express.
Im hoping ver 9 will be what ver 8 should of been.