I'll give you a choice of two possible answers:
1) Not at all. What veils do, however, is stop observers from noticing such things. (This is probably true for some types of veils.)
2) Yes they do. In the same way that veils bend light (which is physically possible, though not to the extent possible with Dresdenverse magic -- see real-life applications such as prisms and mirages) they also muffle the vibrations caused by footsteps, bend or eliminate energy (such as sound waves used in hearing and echolocation), etc.
Note, by the way, that the effects above are not absolute: short of a infinitely strong veil, there will be traces left behind that a character with sufficiently powerful senses can detect. Ie, someone who rolls over the strength of the veil penetrates it. Just not automatically, as with D&D tremorsense.