That depends - what kind of stone and setting are you interested in and what is your intended budget? Getting things at the same place does make things easier, but depending on the vendor, they might not be the best for quality settings.
Whenever possible, one stop shopping is recommended. You can buy a setting and a stone from two different vendors. This often adds/requires processing time, another point of potential error/conflict, shipping, insurance, communication and coordination. When things go wrong, dealing with a single vendor is alot easier than potentially two. Many choose this route, because they can save some money and/or have a very specific setting/stone combo they want.
So it depends on what you want, how much coordination you are willing to perform, and your budget.
I'm doing everything myself and I don't want to get overwhelmed, so thanks for the advice about trying to get everything one place so that I only have one person to deal with. That will certainly take away some of the frustration of running around and dealing with too many people.
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