First, let me congratulate you on your decision to knit your wedding veil! That's superb!!! And also offer you best wishes for a happy married life!
About the pattern you posted...I've done lots of crochet over the years and I can readily see that the pattern you're working from is, indeed, very dense. I don't think you'll ever get the "fineness" you'd want for a wedding veil using this pattern.
However, there are some awesome shawl patterns around that would make a stunning wedding veil. Check out Ravelry if you're a member or maybe some folks on here will have suggestions for a delicate, romantic shawl/veil.
Whatever your decision, best of luck with it. And please keep us posted on the project!