Generally speaking, I always recommend starting with bezel setting, and practicing that with well-cut, flat bottomed round cabochons. You can get cheap stones to practice with from places like Amazon. Just do a search for cubic zirconia cabochon on the website. You can probably get some decent deals on natural stones too, but I wouldn’t expect anything to be what it says it is on there – but for practice, it’s cheap as chips, and so it works just fine.
To start with I’d suggest practicing with 28 gauge bezel wire in fine silver. Fine silver in such a thin gauge can be easily formed over the stone with a simple bezel rocker – so by far, it’s the easiest setting to master.
In terms of shape, the next easiest would be ovals or organic shaped stone, followed by stones with soft corners such as sugarloaf cabochons.
But seriously, it’s best to begin with well-cut cabochons with a perfectly flat base. It will make the learning process a lot more peaceful if your first stone isn’t a complete monster.
Finally on the subject of shape, stones with crisp corners are the most difficult when it comes to bezel setting, and generally I’d only move onto setting these once I’m happy I’ve nailed everything else.
After trying out a few bezels in fine silver, you might want to have a go with sterling silver. But be warned, it does take quite a little more effort to move sterling silver and secure the stone – and for this reason, it’s imperative to get the bezel height perfect. Sterling silver has a lot more spring than fine (999) silver, so you will notice that when you set a sterling silver bezel, the metal has an annoying tendency not to stay down and over the stone.