If your going to do it that way, the OP might as well save as a pdf which will import just fine into illustrator (tested it last night). Vector art will stay as vector art (same as doing a copy/paste would). But thats assuming that all art is in a single document with nothing else.
The better way is to find someone who is capable with VB scripting, who can write the code needed to copy each image and paste into illustrator and save in a temp director as eps. Or better yet give you the option of what directory to save to. It is possible, just beyond my scope ATM.
