Practise with a couple of silver ones with cz's first.

With cup burrs you need a selection so that you can check them on the prongs. Also if you buy twin cut cup burrs, be careful as they get rid of metal really quickly.
If it is your first time doing claw setting then go for ball burrs as they are easier to use, as with the cup burrs you need a selection as it depends on the size of the girdle of the stone. Ideally you want the ball burr to be just slightly larger than the girdle.