Hi Greenie
If you register as a VIP member you'll get access to another section of the forum and if you look for the bit called "bling" and search under my name, you'll see photos of loose stones I've bought and then had made into rings/pendants etc. You might want to search for my Chameleon Diamond because you'll see the diamond I bought loose and then how I designed it and the final finished version.
To answer your questions though:-
1. Is it cheaper than buying a ready made ring? Sometimes. For example, I bought a 4ct emerald cut Zultanite for £150 and had it made into a ring with diamonds and all for under £450. Ok, I know where to shop and get things made so perhaps that's not a good example, but the same ring would sell for about £800-1000. So yes, it can work out cheaper - but normally where you're going for high end pieces.
2. Buying loose stones can be risky unless you know where you're buying from and also understand how to test gemstones. There are tons of synthetics and treated gemstones on the market. If you're fussy and want only the best, you have to learn about gemstones, buy testing equipment (if you want to be super safe) and then dabble. You'll make some horrific purchases to begin with but every now and again a little dream will come along. Again if you look in Bling (when you've registered) you'll see I've just bought THE most stunning loose Ceylon Sapphire that is out of this world. I think that GemsTV are affiliated with Thaigem and you can buy loose stones from them. From my experience, they've got some great products and then some not so great.
3. If you buy a loose stone and you're unsure what you're doing then look for certified stones.
4. There are different ways of setting loose gemstones. However, if you want to buy an off the shelf setting then you need to make sure that you buy a calibrated gemstone. Settings are made in standard sizes such as 8 x 6, 6 x 4, 12 x 10 etc etc. There is very little tolerance for setting an uncalibrated stone in a setting that's calibrated so again you need to understand the process. If you find a stone and a setting you love, before you purchase drop me a PM and if I'm around at the time, I can tell you whether the two will fit. I can't promise to answer as I'm not always able to spare the time but will if I can.
5. Alternatively you can have a jeweller make a setting for you. This can be costly and unless you are used to designing things, you WILL make mistakes and have stuff made that you think "oh God, no!" If you build good relationships with jewellers and they have the facility to make items (perhaps even use CAD design) then the cost might not be too shocking!
6. Whatever you buy - excluding settings - make sure you can return the item if it arrives and you hate it!
7. Invest at the very least in a jeweller's loupe (you can buy them from Ebay).
That's a starting point for you and you will learn along the way. I've been buying loose gemstones, jewellery and designing stuff for many years now and my "eye" has improved with age!
You will make mistakes but then you'll also be stunned into silence sometimes!
If I haven't answered any of your questions, feel free to ask more.
