How do you put a gem on armor in World of Warcraft

If you shift-click the item, a window pops up showing the gem slots available in that armor (if any). You can simply drag gems into the slots you want them in and hit ok. Note that although you may get bigger bonuses by putting in a gem that matches the socket color, this is not strictly required.

Whether you go for the socket bonus depends on how good the bonus is and what class and spec you are.