So I decided (like a lot of things) to try it myself, and I figured hey, if I really screw it up, I can always go and buy one.
I started by going to Spotlight and buying about 3m of white tulle, a roll of white satin ribbon, a clear hair comb and a couple of crystal drops.
I then determined the length I wanted each section of the veil (shorter at the front, longer at the back) and marked the point where I wanted to attach to the clip by running a needle and thread (white, of course) through that line, leaving it loose.
I then folded the veil in quarters, and rounded the bottoms so that the front and back would come to a point - this is optional depending on what look you are going for!
Once happy with the shape, I took my ribbon and started to sew it over the edge of the tulle. This is the time consuming bit! You might find it helpful to fold the ribbon in half first and iron in a crease.
After that I gathered the veil at the midpoint by pulling on the thread I had sewn in before, like a drawstring, and tying it off, then stitched the veil to my clear hair comb.
The final touch was adding the crystal drops - I mostly did this for weight but it was also a nice little sparkle on the day!
Voila! This veil cost me about $30 (including a decent pair of scissors) and a few hours of my time. I think it looks just as nice as a store bought one - with more sentimental value to boot!
Why not give it a try?