When setting soft stones such as Tanzanite, coat the stone with clear fingernail polish. The fingernail polish is not hard enough to completely protect the stone, but will give some protection from abrasion. More importantly it will serve as an indicator. If you scrape the fingernail polish you are too close, back off! After setting and polishing, soak in acetone.
DO NOT do this with stones such as emerald where the acetone will remove possible oiling.