I have a set of icons in illustrator and I’m trying to export each icon out of illustrator into one PSD, but I need them to import into Photoshop as vector/smart objects. Any idea how to do this?
Copy it> go to photoshop> Paste and select as Smart Objects 
And, (Drum Roll) . . .
The Illustrator Smart Object you Placed will always and only open in Illustrator.
And if you have both programs open you can just drag and drop them 