When you interview someone about historical events they participated in, you're creating your own unique primary source which comes with great responsibility.
Interviewing is also known as Oral History and there are lots of books, articles, and sites about the ethics and practice of this technique. (A good, recent, and online title: Oral History by Patricia Leavy. Oxford: Oxford University Press, c2011)
Some general tips:
You may find this short "Interviewer Guidelines" from USC Shoa Foundation to be helpful.
You may know veterans. Having a personal connection can lead to the best results.
You may be able to locate veterans who are willing to talk to you on the web through forums for units or branches of the service.
A local VFW (Veterans of Foreign Wars) may be able to put you in touch with someone willing to talk to you.
Contains more than 53,000 audiovisual testimonies of survivors and witnesses of the Holocaust and other genocides recorded in 63 countries and in 40 languages since 1994. Most testimonies have been indexed with index terms at one-minute segments. Requires setting up an account to access.