I have been using Million Carats whenever I want to extend a combo with Vajra, but I think that’s fairly well known. Anyway, I’m often using Vajra to get my combo started (teleport crossup) so it’s not usually available.
Ah, I usually use Vergil to zone and then save Vajra for my combos. Although it really depends on who, and what character I’m fighting. Sometimes I use Vajra to zone and just go with a devil trigger cancel.