Wedding veils go through fashions, just like everything else (Silk tulle! Scattered Pearls! Poofy! Not poofy!). But the basics of making a standard, simple veil don't change, and remain classic.
I'll have a grand post with all the best places to buy the various supplies coming up. The most common material to make a veil out of is bridal illusion. White and ivory bridal illusion is available at most fabric stores. If you need diamond white/silk white/candlelight/pearl, you'll probably have to special order.
Cut a length of bridal illusion as long as you'd like the veil to be. The bridal industry standard sizes are:
Shoulder Length: 24" long
Elbow Length: 30" long
Fingertip Length: 42" long
Chapel Length: 90" long
Cathedral Length: 110" long.
Fold your fabric in half, then cut along the dotted line (generally--I'm awful at using illustrator, but you get the idea!). A good pair of scissors can be used for this, but a rotary cutter makes the job a LOT easier.
You'll end up with something like this. Except yours will be symmetrical, because you folded in half before you cut it, and didn't do a quick sketch in illustrator. ;-)
Gather along the top edge (the straight one) of the veil, using a simple whip stitch. Try to make the gathered length about the same as the width of the comb.
Using the same needle and thread, sew the gathered veil to the comb on the convex side. Does that seem counter-intuitive to you? Check out this How to Wear A Wedding Veil post for the reason why.
Voila--you've made a simple, cut edge veil! Total cost for materials...oh, around $1.50. And a salon would charge you hundreds. Not everyone is comfortable with the DIY route, but if you are willing to try, you can save so much money!
Make them long...
...make them more or less poofy (72" wide on the left, 108" wide on the right)...
Make them out of different materials (silk tulle left, bridal illusion right, both 72" wide).
But the technique is exactly the same.