Drilling a hole to aid with wire wrapping or adding a simple bale to the stone is always an option. You may also be able to wrap it without doing so, depending on the style of wrap you're doing.
Of course, another option is to do a knotted leather (or linen / hemp) cord wrap like the one I did for the fossilized shell in the attached picture.
The great thing about jewelry making is you have unlimited possibilities in how to display your stones.