Well, it has been a coupe of months since I got into the workshop but the arrival of my new mill/drill galvanised me to have another attempt at this. Using the fine down feed on the mill I managed to get all three holes exactly where I wanted them without damage to the ring - PROGRESS!!
Now I have some fine filing to do - the settings (nominally 5mm and 6mm) are actually about 0.25mm bigger so don't easily fit into the holes. So the order of business is: File out the holes for an easy push fit of the settings, epoxy in the wire, finish and polish the outer face and edges of the ring, epoxy in the settings, grind away any projection of the setting underneath, sand out the inner dimension to size, then finish and polish the inner surface. Finally buff the silver of the settings without damaging the ring ... sounds simple and straightforward, dunnit?