I use 22 gauge wire which soft and bendable. The only downside is that it is so bendable that if you're not careful you can squish your rings.
To make: cut a small piece of wire and bend around a pen that is a similar thickness to your finger. Thread a small bead onto the wire. To finish the ring, curl the ends using needle nose pliers.
This moon ring is one of my favorites.
And, in case you're tired of looking at pictures of my hand, here is said pile of midi-rings.