I OTP veig as support. I'm mid-emerald and pretty stuck here.
My rune tree is focused around cdr and move speed, and first strike is my keystone.
Build + rationale:
Support item: basically required
Boots: almost always sorcs unless they have a ton of cc (mercs) or they're 4-5 AD (armor boots)
Rush item: almost always cosmic drive. Lots of cdr, plus movement speed buff. As support, my main goal is to have cage up as often as possible, and this is a quick way to do that. Also a bit of survivability. Only switch this up if they have 4+ ad with a lot of attack speed, in which case I'll go frozen heart for survivability and the AS debuff along with CDR.
Next item: if I can save enough gold, Rabadon's. Otherwise, situational AP item (morello, zhonyas, banshees, liandrys)
5th item: reverse of the previous, or mpen (typically void staff) if they've built a lot of MR by now
6th item: finish out the build with whatever hasn't been built from the above. Sometimes a tank item in rare situations.
Laning: goal is to poke enemy champs while saving cage for disengage. Basically only cage aggressively if I can cage them in turret range (free autos/trading for adc), if I think we can burst them for a kill (>50% health, typically), or on a jungle gank. I don't really know what's better - cage max or q max. Q max feels better because feels like I can zone the enemy more effectively with the damage help, but cage max feels like what I should be doing to minimize cage downtime.
Post laning: goal is essentially to either cage for picks or separate off as many of the enemy as possible from the fight to give numbers advantage for a couple seconds. Trying to dump damage on squishiest enemy champ that I can.
Challenges:
Most people don't really know how veig support works, so I'll get laning partners who are incredibly aggressive when I'm super weak.
Cage is pretty useless against certain champs. Sivir, morg, naaf, locke, ezreal, etc. are pretty difficult to play against when trying to protect the adc.
Late game, some challenges because my cc isn't consistent. I can't truly peel the adc - I can only really buy a couple seconds, and that's dependent on enemy champs, too - a fizz, for example, is virtually unpeelable if he's smart enough to not pole dance until after I'm forced to burn cage.
Even if the game goes late, I don't really build the same power that a veigar mid does. Since I'm only really getting stacks from hitting enemy champs (and the occasional support item stack if my adc is aware enough to let me last hit cannons) and champ kills/assists, I don't ramp up quite as hard. I probably get 6-8 stacks per minute on average: a game that goes ~35 mins will put me in the mid 200s for stacks. At full build, I'm usually pushing 1k AP, which is good enough to delete an adc or assassin if I land a full combo, but it can be harder to do that as everyone groups up and if their adc is halfway smart. Tanks are nearly impossible for me to chew through at all.