Currently, .STL (Stereo Lithography) is not on the list of supported import formats in Vectorworks.
However, there is a freely available, open source application that will work on almost any operating system, known as MeshLab that can convert STL files to 3DS, which can then be imported directly.
To do this:
1) Download and install the MeshLab application, which can be found HERE. (NOTE: At the writing of this article, you will need to install the 32bit version on Windows in order to export to 3DS.)
2) With the application open, go to File > Import Mesh...
3) The object will appear in the center of the screen.
4) Select the .3DS format, then click Save.
The file can now be imported directly into Vectorworks, modified, then exported back to STL format.
Edited by JimW