Most have stated that the veil or any prop used in belly dance should become part of the dancer. The dancer and the veil should act as one, all movement in a continuous flow. It is possible, however, for the dancer to either be too much on her own, leaving the veil to be by itself, and it is also possible for the veil to consume the dancer.
Should this be your first time working with the veil, there are some suggestions that can be helpful. First, practice with a sheer scarf that is short and easy to practice with for your first "taste" of dancing with a veil. It should be light weight and easy to hold. The reason why I suggest that you try with a scarf or a shorter cloth is so that you won't be intimidated by the long veil that you will dance with in the future. Besides, I am not suggesting that you practice with a scarf or a short piece of cloth for a long time; this is just to give you a taste.
To hold the veil, place one corner of the material in between your thumb and index finger. Then, extend the fabric until you are able to grab the other end in between your thumb and index finger in the other hand. Bring the veil behind you and extend your arms. Depending on the length of the veil, you may have to secure the veil about five inches or so from the corner of the veil. The top of the veil should run parallel with your extended arms. There should be no droop effect.
Practice with slow to medium tempo music. Never practice your veil work with a fast song. Dancing with a veil is about grace and elegance.
As the music starts, raise your arms, with your veil, in a "V" form. Walk four steps forward, four steps back. Lunge the left foot back and rock your upper body forward and back, scooping forward with the arms (as you rock forward) and bring the arms back, palms face front (as you rock back). Do this nice and slow. Go with the tempo.
Next, extend your right arm in diagonal to the right, left arm down diagnal. Angle your body to the right, feet hip width. Lean forward and back, scooping with your left arm, the same way you did before.
Extend your arms out (in a "t") and step-ball-chain, twisting your body to the right. The right arm should come in front of you, covering your body with the veil, while the left arm is open. This twisting and step-ball-chain should reveal only the side of your body. Alternate, by twisting to the left, left arm in front, right arm open. The count should be 1&2, switch 3&4, switch 5&6, switch 7&8.
Your arms may feel a little tired. Veil work is great for the arms and if these few counts are tiring, then you may want to do some extra exercises to strengthen the arms. Otherwise, keep practicing with the veil, and you will build up strength. Besides, not having the right control with the arm movement will show up as you dance with the veil.
Did you forget about the feet? Aha! Don't forget to pay attention to how your feet move around and about. Just because you are dancing with the veil, doesn't mean you can relax your bottom half.
Try other movements with the veil such as tossing the veil over your head and behind. Spin with the veil. Later I will discuss some of the more difficult stuff that you can do with the veil. For now, if this is your first time, repeat some of the exercises that I discussed earlier.
Once you get a feel of what dancing with a veil is like, then purchase a veil. Since I am a short person, I really have to pay attention to the length. Tall women usually look for very long veils. There are all sorts of beautiful colors and patterns. Pick one that you will enjoy dancing with.