You will need:
Basic to intermediate metalsmithing skills
set of jewelers files
sandpaper grits 200-400 or 600
Fine silver bezel wire, 30 gauge, appropriate height for selected stone
Sterling silver sheet, 24 or 26 gauge, for backing the bezel
Sterling silver stock for ring band, bail, earwires, pinback, etc
Ring mandrel (used to hold the ring in place while pushing bezel)
Step 1: Select an object to bezel set.
Step 2: Bezel wire length
Step 4: File the ends flush.
Step 5: Matching up the ends
At this point, it is not important if the bezel is the same shape of the stone - getting a proper join is the key, shaping will come later.
Step 6: Solder the bezel
Step 7: Shape the bezel
Step 8: Smooth the edges
Make sure to apply even pressure, or you will end up with a lop-sided bezel. It helps to move in a circular motion.