This particular marquise setting has 2 side claws that had slots drilled in them exactly the same as the simple claw setting we did in the last session.
The points of the stones have to "float in mid-air" in holes drilled into the end V shaped claws. The stone is supported on each side of the large hole by slots, meaning that when pushed over, the claws do not break the points of the stones.
The rubover/bezel/collet setting was drilled in a continuous slot at an even depth, around the top of the collet.
If the stone is a strong one (in this case CZ) it can be simply popped into place. To my surprise, mine went in first time.