I have my wedding band and engagement ring insured with Jewellers Mutual, I also have a lifetime warranty at Michael Hill for my set. My fiancé will most likely insure his ring under our home owners insurance.
That is on my list to do and i should do it before we go on our honeymoon. I will be adding the insurance though my home insurance. I think it's a matter of adding a rider to my current insurance to include the value of all our rings, but most specifically the engagement ring.
If you don't have home insurance, i'm not sure how you go about getting your rings insured.