I recently went to an interesting day retreat on vedana and it was packed. I've also had some interesting discussions with my meditation group on this topic so there's clearly an appetite for it. So then, the first thing to address is: what is it? As always there are different levels of understanding from the broad to the intricate but let's start off simple.
Vedana is the sensation of pleasant and unpleasant, or something in between.
How do you know when you experiencing vedana? Well, here are a couple of examples: if you stab yourself with a pin you will experience unpleasantness (generally); if you stroke your cheek you will experience pleasantness (for a while). And that's it. Actually knowing vedana in your mind is where it gets tricky because its something you feel and know rather than think about. So relax, stop thinking and tune in to the ambiance of feeling that accompanies you everywhere you go.
That's probably enough for now. Pay attention to everyday vedana (worldly vedana) as you go about your business - that looks nice, I didn't like the taste of that - and notice the feelings in body and mind. You might notice that there is contact with an object, perception of the object and the arising of vedana in relation to these things – it is important to understand that the vedana is in you and not the object – a chocolate cake is not intrinsically pleasant by itself, it needs you to eat it for the enjoyment to be felt.
And so begins the journey into vedana. It is very simple but it leads us on a very deep path indeed.