In this 'quick an dirty' guide to fabricating a setting for a trillion cut stone, Dave Wallis demonstrates using copper for obvious reasons.
Find a curve in a dapping block which matches the curve on the stone. As you can see the stone setting comes to a point - it's a bit like an overfed triangle, when set this curves around the stone.
So we start with three sides - each strip wider than the height of the stone, and about a third longer than each side.
You can see from the back, the shape is pretty similar - but without the curve.
Next we put the curve in with a bit of well aimed violence - make sure the metal is annealed (soft) first.
There you go - just like the shape of the stone
File the ends to fit, solder it up - add a jump ring at the top - job done! I'm sure you'll have as much fun as I did