"Andar de vago" o "andar de vaga" (both are correct, but the first one is for the masculin gender and the second one for the feminin gender) means in Mexico "being almost all the time out of home". But this has also the implication of not doing anything beneficial.
"Mírate nada más, no haces nada... ¡¡¡eres un vago!!!"
Look at you, you do nothing... you're a "vago"!!!"
You think of a "vago" that he has no job or he doesn't study (if he's a teenager or in his early twenties) so basically he passes all his time in the street, just hanging around with friends and wasting his time. It's not really a "vagabundo" because this would translate actually like "homeless", so "vago" is not strictly the same, though it could eventually be, by extension of the meaning.
"Vago" in this case is related to the verb "vagar" which means "to go around with no specific destination". The word "vago" can be translated indeed as "vague" as well, but not in this context. An example where this meaning is used can be:
"No comprendí lo que me dijo... fue algo muy vago." - I didn't understand what he said... it was too vague.
Here you use the term to express that, what was said was not clear enough or not detailed enough.