You need a socketable item and a Gem. You will find gems around the end of Act I and beginning of act II you'll almost certainly find them by the time you have a socketable item. If you don't have a socketable item, when you find the Jeweler you can add a socket to any item for a cost.
However to socket a gem, you do not need to use the Jeweler, instead just choose a gem you want to use, and then a list of your socketable items will come up, socket it into any item, (it is a free process) and the trophy will pop.
If you want to remove the gem from the gear so you can use it later, you can do so at the jeweler.