Copy the vector artwork to the clipboard in a vector app such as Illustrator then paste into a Photoshop doc, whereupon a dialog will ask you whether to paste as raster image or Vector Smart Object or Shape or Path.
You can also use the Place command to embed a vector file as a Vector Smart Object but you won't be able to access its vectors with Photoshop's tools. Double-clicking the VSO will open the contained file into Illustrator.
Thank you conroy. Exactly what I was looking for. Appreciate the help