At each end, where the frame meets, use the same 24-gauge square to wrap the frame together, 2 times to show. Now, instead of using the remaining wires to make a bail and embellish (as you would on a pendant) use them to make a connection loop. For strength and durability while keeping all of your settings on the same plane, I would use a purchased Closed Jump Ring between each stone setting. Just remember to insert the ring into the connection loop at the end of a stone setting, before you wrap it closed (the same if you choose to use a purchased clasp such as a lobster claw or trigger style).
For those of you who would like to learn how to make a prong frame for cut stones, DVD 1 of the Advanced DVD series shows exactly how, including the formulas for stones of all sizes!
Answer contributed by Dale "Cougar" Armstrong