I was recently struggling with a similar issue, and one big thing I was
missing was cutting the seat deep enough. With the help of a trusted
jeweler looking over my shoulder she was able to see that for my 3mm stones
I needed to go deep enough so that you can only see the top half of the
barrel-portion of the stone setting bur (the rest should be down in the
metal and hidden). I like using the regular stone setting bur, too, because
it’s easier for me to see if I’m going straight up and down.
I also use relatively soft stones so I don’t usually hear a click. I know
it’s in there, though, because I can’t pry it out with just a toothpick or
pull it out with wax.
Hope this is helpful for you.