It seems that some of us are thinking about lace knitting at the moment, I have a couple of things on the go at the moment and so thought I would share some of my own experience around a bit (please add any other thoughts to these if you would like). Lace does knit up a bit wrinkled and scrappy looking but if you hold it out or pin it out then you can get an idea of the finished pattern.
It is knitted on larger needles than you would normally use for something so fine - this gives the holey or lacy look that you are aiming for (don't be disheartened).
Take great care when winding the skein into a ball, it takes a long time as there is so much yardage in one skein and if like me you do not have a swift please don't be tempted to use your feet (as I often do with sock yarn). I found that it took several sessions to wind into a ball and that made for uncomfortable winding and also a few tangles along the way - try VERY hard not to get tangles in this weight of yarn they are the worst to unravel and it is easy to break the yarn!