The stone needs to sit snugly into the setting, especially if you are setting using pressure, such as when gypsy setting or parve setting.
You'll need both burrs to be the same size as the stone.
However read up on the types of setting you plan to use, settings like parve settings are not really suitable for large stones.
Gemstone settings by Anastasia Young and Creative gemstones by John Cogswell are good sources of information.