Hi Erin. I would suggest trying the other cereals first before moving on to veggies. The pamphlet I got from the public health office suggests rice cereal, then barley, oatmeal and lastly wheat cereal. (I have not even seen the wheat cereal come to think of it!) The leaflet says "both vegetables and fruit may be added once baby is eating a wide variety of cereals."
Avoid infant cereal with added fruits and vegetables.
Do not mix the veggies with formula. You also do not need to heat the veggies up. If you do though, make sure to thoroughly stir and test yourself because they heat very quickly!
The other thing that is suggested is to try the orange/yellow vegetables first. Sweet potatoes, squash, yellow beans. Then next, green bean/peas etc.
Start with 1 tsp. a day. Once or twice a day, but not as the last meal of the day so you can watch for stomach troubles!
Good luck!