It is very important to cleanse your Dzi stone once you receive it. You need to get rid of all the stored up energy in it, and then ask it to bond with you.
The first thing to do is to hold your stone, in your hand, under running water for a few minutes. Water is very important as a spiritual cleansing agent in many eastern philosophies. Everyone knows a park with a stream, or a favorite place near a river (I suppose the kitchen sink will work too), that they can perform this at. Remember to keep positive thoughts in your head as you are doing this.
After you dry off your stone, put the stone between your palms as if you are praying. Bring your thumb tips up until they touch the tip of your nose (this is called a "Wei"). Now, quietly, and sincerely, ask the stone to be a part of your life. Ask it to help protect you, and assure it that you will respect and take good care of it.
After you have done this Let your Dzi stone sit outside in the sun for several hours. This helps to cleanse it, and also adds power to it. Some claim that burying your Dzi in the earth for the night of the full moon will also help energize it.
This cleansing ritual should be done at least once a month, so you don't have any negative bogies that the Dzi stone caught hanging about.
Other ways to help add power to your Dzi stone are moonlight, earth, and prayer. Let your Dzi stone sit outside beneath a full moon. The moons energy will gently help build your Dzi stone's power. You can also bury your Dzi stone in the earth overnight, this will help both cleanse and add power to it. Praying never hurts. Praying, chanting ( Om Mani Padme Om ), or just sending positive energy to your Dzi stone will all help it help you.
The Tibetan people take their beliefs in the Dzi stones very seriously. They respect it as the Thai respect their Phra. As a result of this, you should always take your Dzi stone off before you go to bed, or before having sex (yeah, I know, I can't figure that one out either). When you aren't wearing your Dzi stone, please keep it in a high place, above most other things. This is a sign of respect for it.