To get started you'll need a beautiful hair clip. If you have long hair a large clip is necessary; for short hair a small clip will do fine. The clips should be the type that you squeeze to open the jaw of the clip, but the handles of the clip should be as small as possible.
Purchase fine white netting at a fabric store to use for the veil. The netting can have little rhinestones, or pearls, or touches of glitter to the wedding veil or leave it plain. Cut a large circle, about 30" in diameter, or larger if you want the veil to hang longer, and scrunch up the middle, then hot glue it to the top of the clip. Take care not to drip glue into the spring mechanism of the clip, but instead, glue to the insides of the clip handle. To hide the clip, you can make a netting bow to place on top of the wedding veil. To make the bow, cut three circles: a 4", 5" and 6". Stack the 4" on the 5" and put them both on the 6" circle. Put thumb and first finger together to make an "O". Now poke the three layers downward into the "O". From underneath grab the middle of the three layers and tie them off. They will now form a blossom that can be attached to the top of the wedding veil.
Large barrettes can be purchased at a beauty supply store; then you can add your veil. Scrunch the wedding veil material onto the barrette with glue. You don't have to scrunch the veil, which brings it up slightly on the sides; you can glue it to the barrette, then place ribbons, beads or other adornments to cover the glued area.
A simple wedding veil can be made that lays upon the head with bobby pins to hold it in, but you can dress it up with ribbons on top or a netting bow.
Another easy way to make a wedding veil is to purchase a small pillbox-type of hat; then attach the netting to the hat. The netting can be stitched on and later removed to wear the hat again, or it can be permanently glued on. Another very easy design is to stitch a pony tail tie or piece of elastic to the underneath part of the netting. When time to wear it, pull some or all of the hair up in the tie with the wedding veil attached.