Thanks for listening to the show, the compliments and joining me here at the forum!
I don't suspect that your problem is the recording software. That's unlikely. It's quite strange that you can record OK with Skype but not the software. So in case it is the software, the first move would be to take that out of the equation.
Start by recording something into Audacity as a test and see if you get better results. It could be that your software is just setup wrong and it's a preference issue.
As for the mic, try being close but talking across the front instead of right directly into it so that the air from your mouth goes over the mic instead of into it. You can also consider getting a pop filter.
I do however think Sony Vegas is for video editing. Or do they have a standalone audio editor too? If you record into Audacity and find you like the results you'll know the problem is with Vegas but also for intro's etc, you can just stick with Audacity.
Let me know what happens.
