For this step you need to do a bit of research to figure out what kind of runes that you want to use. For my set I used the Elder Futhark because when I first learned about runes this is the system I saw used the most often. To find different sets of runes, just hit the internet. There is a wealth of information describing all different sorts of rune sets that you might like.
After you figure out what runes you want to put on your stones the next hard part is to figure out what kind of stones to use. You want to choose stones with a meaning and that you like and will want to use. I chose Sodalite because it has power, healing, and luck properties and I just liked the color and the stone. It's better to try to find tumbled stones to use because they have a smooth surface to work with and they have a smooth sleek look afterwards. Usually your local rock shop will carry many varieties of tumbled stones or you can tumble them yourself. You want to try to use the same type of stone for the entire set. When choosing which separate rocks to use for each rune stone the best is going to be a stone with a flat surface so its easier to draw the rune onto it and cut on the surface.