The most straightforward way is to open the file in Illustrator, copy, then paste into a Photoshop document. Choose "Shape Layer" in the dialog.
Less directly, you could place the file as a Smart Object (or use
File > Open as Smart Object), double-click the thumbnail in the Layers Panel to open in Illustrator, then copy and paste.
If you don't specifically need the graphic to be a shape layer, but just want it to be able to scale, you can leave it as a Smart Object so it will re-render the vector information at whatever size or resolution you choose.
Step 1: Create a large new document (much larger than you will need) and Place the EPS and drag it out to fill the document.
Step 2 version 1 (creates a vector brush):
Edit > Define Brush Preset... and name your new "brush"
This gives you a vector brush that you can size as needed.
Step 2 version 2 (creates a shape):
Cmd-click on the layer thumbnail for your EPS so it becomes a selection.
Switch to the Paths panel, and from the flyout menu choose "Make Work Path"
Select .5 pixel as the tolerance
Choose "Edit > Define Custom Shape"
The caveat with version 2 is that the path will not be as smooth as with version 1 because of anti-aliasing, so it is very important to use a very large document (so you have lots of pixels) to reduce unevenness in the path.