Groups can have vector masks. So, you can mask a shape layer with a group. Or even a group with another group.
100% vector. 100% editable later. This works in Photoshop CS5 and CS6 (I can't remember if versions prior to CS5 had the feature). You could also use a clipping mask, depending on what you're after.
Edit: After seeing the link of the shape you're after, I think just using a few paths on the same layer with boolean path operations should do the trick.
If you need portions of a shape layer to be see-through, multiple
paths with different boolean path operations can be used. In the
example below, the larger circle is set to combine shapes, and the
smaller circle is set to subtract front shape. The sequence you draw
the shapes matters, because that’s the order the boolean path
operations are applied.
— quoted from an article I wrote: Masking in Photoshop CS6
If you have Illustrator installed, sometimes complex shapes can be quicker and easier to draw than Photoshop. You can copy and paste the result into Photoshop as a shape layer, keeping edibility.