Until you start getting sloppy. I went to a beekeeping lecture (/ honey tasting), and the long-time beekeeper said he usually doesn't deal with all the gear, sometimes gets stung but at this point it doesn't bother him much.
That said, some also go in without a veil. This is _not_ a good idea. There was a very experienced (25+ years) beekeeper who told a story at the PA State meeting how he nearly died after knocking over a beehive.
I was out of commission for about a week after that. The whole right side of my face was swollen, and I couldn't see out of that eye for most of that time. It looked like I got in a fight and lost :)
And that was the last time I went into a hive without a veil.