I am kinda new to Sony Vegas, and was wondering how could I add effects such as you see in 1:05 - 1:08
those stars? going up
YouTube - Lucky Star-Rhyme

Is there any tutorial on how to make my own? or how to use exisiting ones already?

try downloading the demo of particle illusion... then (with help from tutorials) make the clip...
after that just chroma key the clip over your other stuff

You could use the credit roll titles, using a wingdings star and blurring them

Andrew