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.