I can tell you how I do it. There may be faster ways. I have my gif (either one I made/make, from free usage, or one I paid someone to make for me) on a separate video track in Vegas. Then, I crop it to whatever size I need, do all the technical mumbo jumbo to try and make it look smoothed out and no jaggies (if I have to chroma it for a better look, I will), place it in whichever corner I desire, then I stretch it to the length of the video or whatever length I desire.
I usually make my gifs in Vegas saved as a wmv. Then, I use a neat little program I purchased from ConvexSoft that converts video files into animated gifs, swf, and flash files. It works for me.
Hope this helps.
