I used the same technique taught in my "frame for an undrilled stone" tutorial (see below) to trap the stone. I cut the frame wire a bit longer than needed for the stone. I used the extra wire to make a woven bail. Instead of cutting the excess wire off after the bail, I continued weaving down the length of it, brought the weave around across the front, securing it onto the sides of the frame as I wove it.
For more photos and info, see this [link]