First you need to know how to do flat round peyote. You can find very extensive, clear instructions for this stitch here
. Graph paper for the stitch can be found here
. Any rock can be wrapped, but for your first try you should select one that is at least semi-flat on both sides and not too thick. Also, the more circular the rock, the easier time you will have finishing it. The so-called "river rocks" that you can find in Home & Garden shops or even in crafts stores such as Michael's work very well for this beading project.