This is just MHO from reading these boards, someone else probably has more experience.
I think the best thing to do would be to have a local jeweler set your stones. As I'm sure you know, there's no duty on loose stones brought into the US.
If you have them set during your cruise you'll have to pay duty on them unless you have US receipts for the stones, which I'm "guessing" you bought on other cruises?
I'm sure other "jewelry buyers" will be able to tell you for sure!
"A truly happy person is one who can enjoy the scenery on a detour."
My advice would be to set your stones at home with a jeweler that you know and TRUST. If you really want to do the island jewelry thing , check prices at home to see that you are not overpaying. The islands are not always the BEST and CHEAPEST, especially if you live in a metropolitan area where there's healthy competition.
I don't even know if that can be done. You are on the islands for such a short period of time, i don't know if the local jewelers can do it in the time frame allotted. I don't know if they will sell you just the setting either.
Fern also made a great point. You will have to declare your purchase for the full retail value of the jewerly.
I think that you would be much better off at a local jeweler that you know and trust.