DoF preview is difficult to use well. The idea is simple, but application much less so. Without DoF preview, what you see through the viewfinder is shown with the lens "wide open" -- at its largest possible aperture. This provides no guidance about how much depth of field your picture will have, because (unless you happen to be shooting at maximum aperture) the picture you're seeing in the viewfinder won't be at the same aperture as the picture you take.
In theory, DoF preview is a simple answer to that: it just closes the aperture on the lens to whatever aperture you have set for the picture. If, for example, you were going to take a picture at f/11 using an f/2.8 lens, the DoF preview will stop the lens down from f/2.8 to f/11.
Difficulty in application stems from two facts. First of all, stopping the lens down significantly makes the view through the viewfinder darker. Second, and more importantly, the focus screen on most current cameras doesn't portray depth of field very accurately. A focus screen that transmits more light directly through gives a brighter view. Since most people depend on autofocus for focusing and don't worry much about DoF, this is the sort of screen used in most current cameras. A screen can be built to diffuse the light more. This doesn't give as bright of a view, but also makes the apparent sharpness in the viewfinder drop off much more quickly when things are out of focus. This makes the DoF preview in most cameras pretty inaccurate. What you see in the viewfinder will show a lot more DoF than the real picture regardless of the exact aperture the lens is set to.
As such, to use DoF preview at all well, you just about have to do some testing to compare what you see in the viewfinder to what you get in the picture. The two won't be the same (usually, anyway), and it's up to you to train your eye to compensate for the different between what you see and what you'll get to be able to compensate.
One technique I've used with reasonable success is to take some pictures at a particular aperture (e.g., f/8) and set up a laptop screen next to the camera so you can quickly look from the viewfinder to a picture you just took. You can then adjust the aperture (with DoF preview) to get close to the same DoF through the viewfinder as shows in the picture. What you really care about is how much difference you see between the two. Let's say the viewfinder at f/3.5 shows roughly the same DoF as the picture on the laptop that you took at f/8. That gives a difference of roughly 2.5 stops. From then on, you can use DoF preview to adjust the zone of sharpness as you see fit, and know that you'll need to open the aperture ~2.5 stops from there to get about the same DoF when you take a picture.
