Jewelers and jewelry artists use a variety of special glues to bond metal to stone. Two-part epoxy glues are the best, they are thick and bond well. We also use a cyanoacrylate glue which is sold as "super glue" in hardware stores or magic glue or gemtack or dazzletack in craft stores. These glues come in either a liquid for or a gel-based form and for your purposes gel based would work best. Glue from the hardware store works as well as craft store glue, thay are the same thing in different packages. Only drawback is that some of these dry cloudy, so don't use it on the surface or with transparent or crystal stones.
There's also E6000 available in bead stores and jewelry making places. It's a one part epoxy -meaning there's no mixing -it dries clear and far less cloudy than super glue, and it has a window of two to four minutes before it sets up so you won't glue your fingers to your jewelry. It's a very runny liquid and can be difficult to work with for a beginner.
I think, however that a five or ten minute two part epoxy glue would work best. Mix the the two parts as directed on the package and be sure to allow time for the bond to properly cure. he thick blob of epoxy should form a better bond between your stone and the metal finding. Epoxy also has some lag time between gluing and setting, so you are less likely to glue your fingers to the jewelry. I've done that a few times with cyanoacrylate. There's nothing more embarrassing than a trip to the hospital's emergency room because you've glued crystals to one hand and the pin base to the other hand. Here are a few resources:
http://www.wisegeek.com/what-is-cyanoacrylate-glue.htm
http://www.landofodds.com/store/glueuse.htm
A jewelers resource: http://www.gravescompany.com/adhesive.htm
another source used by jewelers who use natural stones: http://therockshed.com/findings1.html
Safety note:
Always glue in a well ventilated area and try not to breathe any of the glue vapours. These glues can and do glue skin to skin, metal to skin and stones to skin. Use needle nose pliers, tweezers and other fine tools (toothpicks work quite well) to apply the glue and manipulate the findings and stones. I'm not joking when I said I needed to go to the hospital to remove some jewels that I glued to my fingers.