Measure the width of your wall stones with a tape measure. Stake out the four corners of the wall with garden stakes and wrap a string around each corner. The area should be as wide as the wall stones plus 4 inches.
Dig out a trench 6 inches deep plus half the depth of the wall stones with a shovel. Tamp the dirt at the bottom with a manual tamper.
Fill the bottom with 5 inches of gravel and tamp it. The gravel base facilitates drainage and prevents a frost heave from damaging the wall.
Pour 1 inch of grit sand on top and spread it level. Lay a board on the sand and place a bubble level on the board to ensure it is plumb.
Set the first wall stone on one end of the sand bed. Refer to the manufacturer's instructions to see which order to lay the stones in. Typical wall stones are labeled as male or female and designed to interlock.
Place the second stone flush against the side of the first stone. Continue placing stones on the sand, not dragging them, until the first course is complete.
Backfill the space between the bottom stones and the border of the trench with gravel and tamp it down.
Place the first stone of the second course, or row, and interlock it with the stone beneath. Continue setting each course of interlocking wall stones until the structure reaches your desired height.
Attach cap stones across the top of the wall. Cap stones will repel water and protect the wall from weather damage.