Sockets just let you customize your stats a bit, nothing really special about em. While leveling up it's not something to concern yourself over, what I usually did with socketed stuff before I hit max level was just find a logically budgeted green quality gem that matched the socket colors (unless the socket bonus was something stupid like resilience, in which case I usually put in an offensive gem even if it didn't match colors). Should only cost you a gold or two and gives a nice little boost to your stats.
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