Posting this here since I could not find any guide section and I highly doubt this is intended.
The trick is to make use of your other weaponset (Default binded on X), Equipping items (only mainhand and offhand) with socket slots and then insert gems into them while leveling using your ordinary weaponset acully levels the gems.
This is very easy to use and it means that you dont have to gimp your character when leveling new gems!