Socket to me
When you find your first gem, or import a character with gems already, find the Jeweler who has 2 tables next to him and hit the Y button when talking to him, RB 1 time, take your gem and put it in a socketed item, if you do not have a socketed item you can easily talk to the other merchants and find one. It will say socketed in the stats of the weapon.
Video done by UKxJOK3Rx