Just talk to Seneschal Varel about Velanna's joining and she will become a Grey Warden.
(Important) If the Blackmarsh is your last area to finish, do it AFTER you do Vellana's joining because the completion of the Blackmarsh will provoke the Final Quest, The Assault on Amaranthine. You will NOT be able to talk to Varel about having Velanna becoming a Grey Warden because he is busy with other concerns. This is true for Sigrun aswell.
(This has been tested on the PC version, currently unaware if it holds true for Xbox360 and PS3 players)