Digging through the mailbag again, and this question popped out. I’ve been actually trying to work up a tutorial with several ways to make your own jump rings, but I just haven’t gotten to it yet. Actually, the real reason is I haven’t perfected that technique either!
From the Bloglander Jewelry Making Mailbag:
Brenda M. writes: “I would like to know if 18 gauge wire, not silver, is strong enough to make jump rings out of? Thanks!”
Bloglander Jewelry Making says: As far as I know, it should be fine. In fact I think many times that base metal wire might even be more rigid than full soft or half hard silver wire. The base metal is often more brittle, though. As far as gauge size goes, I’ve made it with anything smaller than 22 gauge.
One issue with base metal is that the jump ring “ends” may be sharp when cut, and I don’t know if it’s as easy to file down base metal as it is silver. I haven’t tried filing either (it might not even be necessary to file it if the wire isn’t cut at such an acute angle) so I might be wrong about this.
I suppose it would also depend upon the application and whether the jump ring is required to support stress or force. For example, for use in earrings you could get away pretty thin wire. For chunky necklaces, however, I wouldn’t use really thin wire. Actually, a bigger concern might be the fact that the jump rings aren’t soldered so you have a chance of the connector slipping out through the opening if they aren’t closed correctly (refer to this article on opening and closing jump rings).

Depending on the application, it may be worth it just to buy them if you need the quality to be consistent. Above are store-bought jump rings, nickel plated base metal on left, silver on right. For making the jump rings, I know Beadalon sells a really simple device for it that’s about $10. It has 4 metal mandrells for wrapping wire around, and a plastic doohickey base for winding it. Try Rings & Things for more info.