The simplest method to do this is to Copy the entire vector in Illustrator.
Then paste it in a new layer in Photoshop. When you paste it, it will give you prompt to how you would like to paste it. Select Smart Object, and it will act as a grouped Vector.
In addition make sure you PSD file is set to 300dpi if you are planning on printing.
Also another thing you must consider. When you zoom in @ 300% in photoshop it functions differently than Illustrator, in the sense that Illustrator redraws the Vector at the zoom level. However in Photoshop everything is based on static pixel, so when you zoom in the vector will not redraw BUT if you expand the image size, and scale the vector, it will increase flawlessly as vectors should.