Rhinestone pre-mounted in a little metal cup, with 4 holes, one on each side, are called montees. Invented for embellishing fabric and fasion, they can also be incorporated into bead weaving and bead embroidery.
Use a tough thread like fireline, so that the metal won't wear and cut the thread.
There are two styles of metal mount. The cup shape that has four holes, and you can stitch across or on the diagonal are called Chaton Montees. The ones with an + pattern on the back - they have an x-shaped channel, are called Rose Montees. They tend to sit a little flatter.