What you need:
Some ring blanks
Some rocks/gems with at least one flat surface
Some super strong glue (like SuperGlue)
What you do:
1) Decide which way you want the stone to face on the ring.
2) Dollop a generous (but not overflowing) amount of glue onto the stone. Gently push ring blank into the glue and set to dry. This might be slightly trickier if your stone isn't flat on both sides - i.e. you might have to hold them together for a couple minutes while the glue dries.
If you have a super long stone like I did, you could even try making a multi-finger ring.
3) Wait until fully dry. Rock out! (badumtsssss)
(sorry for the weird/not great quality final product photos - my camera charger has vanished, so I took them on my iPhone...)