I have wanted to do this for a long time, and finally did it last week at DTD. The pick-a-pearl part is really cheap, I think $16. However, the settings are not cheap. The cheapest pendant setting is $40, and basically just attaches a loop for a chain to the pearl. The next setting adds a small diamond chip for about $90. I ended up with a large white pearl that I had set in a yellow gold setting. The total cost with tax was $140 - $150.
Looking in the cases, it was not obvious which settings you could have pearls set in since everything in the case already had a pearl in it. I had to ask, and the woman directed me to the small section for setting pearls. The settings don't have any prices on them, so you have to ask. I didn't see anything that was a cage that didn't require the pearl to be drilled, but it is possible that they had them since I had the woman only show me a few of the lowest priced settings.
It was fun, but I probably wouldn't do it again unless I found a cheaper cage setting online first.
I just wanted to let people know not to expect any inexpensive settings at DTD so you don't get disappointed if they are more than you want to spend.