I am not sure what to tell you about a site for small stones. Most vendors of color can get you what you want if you send them an email. Even in color there is a great deal of difference in the beauty of the stone in the cutting, so prices that may seem wildly disparate may in fact be quite equal when you factor in the cutting.
Here's some websites with lots and lots of gemstones that I've been looking at for quite a while :-
1. AJSgems.com
2. Alphaimports.com - seems to have lots of tiny calibrated stones for sale.
3. Kaisilver.com
4. PGRgems.com
5. Thaigems.com
I'm particularly impressed with the photos of the gemstones they're selling. The photos look so beautiful; when I look at them, I can't help wanting to buy everyone of the stones shown. When you click on each small description, lots of time details including a larger photo are shown. The information given seems really helpful. Descriptions, such as magnificent, astounding, astonishing, makes me feel as if the stones were right in front of my own eyes.
The hardest part with these is to match the stones (size, cut, color intensity...) so it's better to get a matched set like THIS (go to "Birthstone Ring") or THESE
Thanks people, I think you're right it might be a good idea to purchase a set.
By the way I did wind up buying a sapphire a few months ago after shopping around a long time ( I had posted about wanting one a while back). I'll have to post a photo soon.