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.