Hi Gloria, the reason your prongs will not stay in place (or possibly in shape) is because you are using dead soft wire! Please use half hard when making prong rings. In a small gauge like 22, half-hard wire is really not that hard to work with and actually will behave much better than soft because it will keep its shape after you have bent it, where you want it to be bent! Some folks teach and work in nothing but dead soft, however it will not hold up to a serious geometric design like the prong ring.
Think about it this way - yes, the soft wire will work harden where you make the prong bends, but the length that runs from the ring construction to the pronged end will still be soft; as such, it will have the tendency to bend where it wants to. Also, when you use the side wires to lock the prongs around the stone, these connections can easily pull a soft wire out of place.
I can't speak for other instructors, but I know that when I specify a wire gauge and temper for a project, it is for very this very reason - they work! Now, try the design again using half-hard wire, and see if your prongs don't stay where you would like them to be - and let me know how it works for you!
Answer contributed by Dale "Cougar" Armstrong