I'd been anxious to try prong setting, so I gave it a swing today. I made a very simple 4-prong setting in silver, found a matching pair of Herkimer diamonds and here is how it went.
1) I curved the prongs with a pair of pliers then measured the required height. Cut the extra wire. The cross looking wire at the back behind the Herkimer diamond is how the setting look like before curving and cutting.
2) I rounded the prongs with a wire rounder (got it from Jo-Ann), or you can use a Dremel with a cup bur. I don't have a cup bur, it is on my shopping list.
3) Setting the prongs with a bezel pusher. It usually goes like this: 12 o'clock, then 6 o'clock, then 3 and 9. Go slowly and gently so the stone won't slide into one side and you've to pull the prong back.
4) Make sure the stone isn't swimming inside the prongs. Then polish.
Viola! My first pair of prong setting earrings :-) Next time I should try a ring, a prong setting with seat, tube setting, or all of them!?