Using the DOF button

Your camera's depth-of-field preview is a really useful tool to allow you to visualise the amount of sharp focus in a scene.

When you look through your camera's viewfinder it will always appear bright. This is because the lens is always wide open at the maximum aperture, even when a smaller aperture has been set.

The lens only stops down to the actual aperture being used when you take the photo.

So you don't see how the aperture is affecting focus...and that's where the depth-of-field preview comes in.

When you press the depth-of-field button it stops the aperture down to the selected aperture. Because this aperture is smaller it stops light getting through the viewfinder which makes everything go darker. You need to get used to this darkening so that you can see the affect the aperture has on the sharpness.

Getting the correct depth-of-field is trickier in macro work as the amount is minimal. 
Here I've replicated what a small subject will look like through the viewfinder at f/2.8 (below left) and then what it will look like through the viewfinder when set f/32 (below right) by using the depth-of-field preview to stop the lens down to that f/32 aperture.
Notice how dark it is. This won't be the case when the photo is taken as the camera adjusts the shutter speed, making the duration longer to compensate for the reduced light caused by the smaller aperture.

Once you get used to this darkening you will see the depth-of-field increase as the aperture is made smaller.

Here I've focused on the front of the pistol and set the aperture at f/2.8. Notice how just a small part of the pistol is sharp.	When I stop down to f/5.6 a little more of the pistol is sharp and even though blurred you can start to make out facial features.
At f/11 all of the pistol and some of the hand becomes sharp and all the features are becoming clearer	At f/32 it's all a lot sharper throughout because of the increased depth-of-field. Now everything is clear and acceptably sharp.

When you get used to using the aperture to control depth-of-field you can focus a little way into the shot rather than at the extreme. This is because depth-of-field extends in front and behind the point of focus. So by focusing further away you can gain some benefit from the aperture.
Here's the difference of the two shots one on the left is at f/11 (which should be sharper) and the one on the right is taken at f/8 but with the better focusing point.
The left hand shot is focusing on the pistol, while the right hand shot is on the edge of the sleeve. Notice how the one focusing on the sleeve has a wider sharpness range than the one focusing on the end of the pistol which wastes any sharpness that's occurring in front of the pistol. This point of focus is known as the hyperfocal distance. Stopping down to f/11 would have brought the front of the pistol into sharp focus and everything would be really sharp at f/32.