Ensure the tip of the stone isn't embedded in the metal clay. This is called an azure. Having an azure on nano gems is especially important when you are firing at higher temperatures, or with sterling silver clays. Without an azure, they can change colour or lose their sparkle.
Nano gems can sometimes change colour in base metal clays. To ensure success, do a test fire with a stone set in the base metal clay you want to use, before creating your final design.