using a very thin veneer, about half a mm. do you route a very thin square or what?

0.5 mm is about 0.02 inches. I think that's too thin, I'd start with blocks about 3x thicker, because you'll need to level everything and with only 0.5mm to spare, you're in danger of sanding through the inlays.

The usual way is to stick the inlays to the flat fretboard blank with superglue, scribe around the edge with an exacto razor knife, pop the inlays off, then rout to the edge with a Dremel router attachment using little tiny bits. Glue in inlays. Radius-sand the board. Fret.