I also pre-ordered my copy of Mafia 2 and couldn't find the Vegas DLC codes. Two days after receiving the game I got an e-mail with the code. It is a key-code which looks like you have to start the game from a fresh install.
I also just got the game today and received the code in an email. I dont know where to download the DLC from. There nothing on the 2k games site, and nothing in the in-game menu! I was expecting something similar to the Mass Effect 2 DLC where you get it from the developers site..............?
Okay, I got a reply from Customer Service with the DLC key. If you haven't got yourse yet, try contacting them.
For everyone else, when you have the code, you DON'T need to reinstall the game with the new key. After looking it up, turns out what you do is open Steam and then click 'Add A Game' at the bottom left-hand corner -> Activate a Product on Steam. Put the DLC code in there and it'll automatically update Mafia 2 with the new DLC.