It all depends on how small the stones are, but I would recommend using 24 gauge or smaller wire to create a cage to encompass the stone. Take four strands and tape them together into a bundle. With your needle nose pliers, pull out each wire, in the middle of the bundle, creating a bulbous cage a little larger than the stone. Lightly move two of the wires aside and place the stone in the bulbous cage. Move the two bent wires back to their original position. Once the stone is positioned to your pleasing, twist the wires on both ends of the cage, which will clench down on the stone, giving a tight fit. Snip the ends of the wires to whichever length needed and file to a uniform surface at each end of the twisted wire bundle. From there you can get creative and attach the stone cage to a ring.
Hope this helps.
-William