all you need is a blanket (or a blindfold.)
have two children stand side by side, one child represents themselves & the other represents the Savior. talk about how in heaven we knew the Savior, we walked by Him, we talked with Him, He loved us.
then pull up a blanket inbetween the 2 children to represent the veil. talk & ask questions about how even though the blanket is up & they can't see eachother, the children still know that the other person is there on the other side of the blanket. you can liken this to our Savior and that even though we can't see Him here on earth, He is still with, watching over us, protecting us. we talked about the ways we can know that He is with us.
i first tried this activity in primary while teaching the song "If the Savior Stood Beside Me." In primary i tried it by blind-folding one of the children and moving the pair around the room, but i think i like the blanket better because it seemed to represent the veil better for me.