Not Updated For Current Season
This is personally my favorite build for Veigar, although it changes depending on who I am facing/who my teammates are. The Build stems from farming AP and focusing on ganks with event horizon, so if you're having trouble using event horizon effectively this build might not be effective.
Basically I try to farm as much AP as I can by last hitting creeps with baleful strike. This means that I don't harass as much as I could, mostly because veigar is squishy and most early game dps-ers can easily over-power him. So instead, I farm for mid/late game. This tactic of farming should be coupled with a tear of the goddess as fast as possible, because the quicker you get a tear, the quicker you start accumulating a bunch of mana and become less mana dependent.
Now around level 6, I start to gank enemy casters (priority depends on how well they're doing/how much AP they already have). This is a little early to be considered mid game, but you continue this ganking process until late game. By focusing on event horizon and baleful strike, ganking is relatively easy and quite effective; however, to maximize the benefits be sure to have a mejai's before ganking.
Now late game, most of the physical dps-ers are extremely dangerous to veigar. Be sure to become crafty with event horizon as it is your primary means of escape; however, if you miss, you have ghost, exhaust and lastly Zhonya's ring making you a slippery little man.
Hopefully this helped you out a bit, or just gives you some other ideas of playing. Enjoy.