Cut out a piece of organza as big as you want your veil to be, I think it looks best with rounded edges, but that's totally up to you ;)

Light a candle and start burning/melting holes in your organza!
I found it most easy to stretch the organza a tiny bit and hold it close to the flame until it melts.

When you think you've made enough holes you can start to burn/melt the edges. I hold the edges closer to the flame to make them look more torn up and used.

You can leave one side unmelted and gather the material on this side or you can work on all sides and make an ungathered veil.
The ones that I posted are both gathered.

Decorate your veil!
For my first one I've used an organza flower and some ribbon, for the 2nd one a bow of torn up tulle.

Attach a hair clip to your veil and start wearing it =)