Ok, there are really two parts to successful gem socketing. The first part is deciding when and what kind of gems to socket, while the second part is figuring out how to actually socket the things without alot of heartache and grief (not to mention broken gems)!
Before we get started, don't waste alot of gems until you have your final set of equipment unless you have Gold and Silver to spare! Why? Well, because you'll just end up replacing the gear at a higher level anyway. I recommend dedicating an entire bag to storing gems and saving them until you reach lv55 or whenever you have your "final" set of gear. Get your skills, gear, and lastly gems socketed.
Currently, there are a maximum of 13 equipments spots that you can gem (14 if using shield/one-hand combo). Realistically, socketing 5-7 gems on each equipment is a healthy goal. Before you start socketing though, identify what you want to accomplish with your gems. Some players socket to maximize their strengths (i.e. all AGI build sockets AGI gems). While this is a sound strategy, I personally prefer to socket gems to improve areas that I am not very strong. For example, Alleluia is a wizard class. Wizards traditionally do not have alot of health. Pretty much anything faster (boars, snails, rocks, etc...) will kill most wizards once a pet protecting dies or a skill runs out of mp. Thus, I chose to socket all hp gems (instead of WIL, INT, or Element/Curse Hit gems). Right now, I'm at 5 gems on each of 13 spots. That means I have +75 hp x 5 stack x 13 spots = 4,875 health just from gems. Not bad boost for typically health poor wizard class.
Another thing to keep in mind is what type of gem to use. I recommend +3 gems. Think about it. I need to socket 10 +2 gems to equal +20 in a stat, but I only need 7 +3 gems to have the same thing. Is it a big deal? Yeah, it is much easier to get to your desired stat level using higher level gems. Stacking fewer gems means fewer chances to break a stack. Yes, they are more expensive but there is a reason for it. If you stack +3 gems maybe you just want to aim for a stack of 4 or 5 gems. After all, +3 x 5 stack x 13 slots = 195 total increase in stats. Compare this to using +2 gems which only have +2 x 5 stack x 13 slots = 130 total increse. You gain 65 stat points by using better gems.
Ok, on to actually socketing. Start by getting every spot to have 3 gems in it. You won't break any gems going to 3. Afterward, we all have heard that you default to 50/50 chance of breaking. Start at gem number 4 for a piece of equipment and get each equipment to 4. If you happen to break a stack, stop and rebuild that stack back so it is equal to the rest and try again. I have found that while this may not help the odds of you not breaking gems, it does seem to make it easier to recover a broken stack. The broken spot seems to want to get back to the same level of its friends and it makes the process of rebuilding a little easier I have found.
I've talked to several players and it appears that socketing too many gems at one time increases the odds of a break happening. Also, sometimes it seems like I can go for 5-6 equpments and add a gem to each before a break happens. Personally, I think there are times when socketing success chances are better and times when they are worse. Others have concluded that socket success is based on the number of breaks and successess. For me, if I am not having success, I socket until 4 in a stack and wait for a few hours. I try to add a gem again and usually am successful. For some other ideas, try looking at Lelou of Sakura Empire's strategies on socketing (See http://empireonlinez.blogspot.com/).
Ultimately, each player finds a strategy that works for him or her. Nothing is fool-proof. You will break gems - I guarantee it! The real trick is determining ahead of time what you want to reach and persistently heading toward that goal (even when it is painful). Maybe you want 5 gems in each spot and try for a lucky 2 more to get 7 on your weapon? Maybe you are content at 4 gems or perhaps you want to reach 10 gems. If anyone has any thoughts or tips to share on the subject, please feel free to comment or message me in game! I'd love to hear your ideas!
If you hear a loud wailing in game...it's probably me breaking a hefty stack trying to reach 10 gems ;)
Cheers and good socketing all,