I will tell you quickly how to in Sony Vegas but I do plan on doing a proper video tutorial this week some time.
Design your watermark in Photoshop, save as PNG with a white background, drag the image onto a new video track in Vegas, click on track motion in your track settings to the left and move the logo into position and drag it out across the length of the track. Click on the clip and drag the opacity down or up, I cant remember which way it is and it is blue I believe and that should look good.