How do you add a layer on sony Vegas?

You can right click on your timeline, (make sure you're not clicking on a video clip) and select "Insert Video Track."

Or

Click "Insert" on your top control bar, then select "Video Track."

Or

Press Ctrl+Shift+Q

The same basic ideas apply for audio layers, just select "Audio" instead.

The shortcut for adding an audio layer is Ctrl+Q.