I realized that you probably not realy want to Vertex paint , but instead want to store the shading information into the vertex colors.
This is less demanding for the game engine and you have to do this for all the objects in the age.
This can be done in three steps as shown in the next screenshot.
1) shows the setting after you did all the uv mapping and texturing, the shadeless button is not active, textures are all set to active ( for each material of the object.)
2) you store this information by setting the vertex colors , do this as shown in the second picture.
You can only find this setting once you entered the vertex paint mode.
3) shows the final setting ready to export in a prp. The "shadeless" button is activated, the texture and shadbuffer are deactivated.
So after the vertex colors are set you have to change the setting for each material inside the object
Thats it.