When you do a bezel setting, you use a tool to push the bezel in around the stone. The tools are bezel pushers, bezel rockers and/or burnishers. You won't need all of these and you can make your own pusher if need be. You work your way from side to side around the bezel with the stone in place and the pushed over metal edge holds the stone in - no glues involved. Sometimes it helps to place a thin piece of paper inside under the stone so that there is a bit of pressure and then the stone won't wiggle. Occasionally, if the bezel is a bit loose, the stone will still wiggle a little bit, the paper helps with this.
The book 'The Complete Metalsmith' by Tim McCreight has a good section on bezels. [in our catalog]
Also, if you are making your own bezels, have a look at the Silver Clay forum under the Torch Firing string - there is a whole discussion about bezels made with bezel wire and using Oil paste Art Clay to "solder" the bezel.
Good luck with it all!