For general sewing, a "press cloth" is a cloth (usually thin cotton) that's placed over fabrics that may not be best with direct contact with an iron so that they can be ironed.
When using things like iron-on stones or transfers, etc, though, I guess a "press cloth" could instead be a special silicone "paper" or "cloth" that's used for the same purpose, but also won't stick to any adhesives on the stones or transfers.
If that's the case, your "rhinestones" may have come with a special silicone sheet, or you may need to buy one separately.
Sometimes other things can be used instead of silicone sheets too, like parchment paper (which is coated with silicone), or I think I've even heard that the paper that self-adhesive stickers or stamps come on, will work in the same way.
Btw, if your "rhinestones" are actually plastic instead of glass or crystal, they may need the protection from excessive heat just because of that too.
HTH,
Diane B.