HI!
You asked:
" should I oxidize my wire before making, for example, a pendant or can I oxidize it with gemstones."
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For the most part you can oxidize the entire piece including gemstones when it is completed.
Personally the only time I would consider oxidizing the wire before creating the item is if I were going to be using very soft gemstones like turquoise, malachite, chrysacolla, pearls, amber etc ... and even then it would be on a case by case basis depending on the application and the size and shape of the stones.
With any of the softer stones you would need to be very careful when polishing the silver to achieve the highs and lows in it's color whether you oxidize before or after creating the item so that the stone doesn't become damaged or scratched in the process.
Hope that helps ... :)